Pricing options with American-style average reset features

DOI10.1088/1469-7688/4/3/005zbMath1405.91601OpenAlexW2156972015MaRDI QIDQ4610236

San-Lin Chung, Chuang-Chang Chang, Mark B. Shackleton

Publication date: 15 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/1469-7688/4/3/005

zbMATH Keywords

American-style optionsperiod-average reset warrant

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Valuation on an outside-reset option with multiple resettable levels and dates

Cites Work

• Convergence and biases of Monte Carlo estimates of American option prices using a parametric exercise rule
• Pricing American-style securities using simulation
• Convergence of numerical methods for valuing path-dependent options using interpolation
• Path-Dependent Options: Extending the Monte Carlo Simulation Approach
• Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
• The value of an Asian option
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• Option pricing: A simplified approach

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