Options with Multiple Reset Rights

DOI10.1142/S0219024903002146zbMath1079.91024WikidataQ60148474 ScholiaQ60148474MaRDI QIDQ5696875

Min Dai, Lixin Wu, Yue Kuen Kwok

Publication date: 19 October 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

free boundary value problemsreset optionsoptimal reset policiesshout feature

Mathematics Subject Classification ID

Free boundary problems for PDEs (35R35)

Related Items (5)

Optimal multiple stopping models of reload options and shout options ⋮ Reset and withdrawal rights in dynamic fund protection ⋮ Valuation on an outside-reset option with multiple resettable levels and dates ⋮ Pricing corporate debt with finite maturity and chapter 11 proceedings ⋮ OPTIMAL SHOUTING POLICIES OF OPTIONS WITH STRIKE RESET RIGHT

Cites Work

• Understanding the Behavior and Hedging of Segregated Funds Offering the Reset Feature

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