On pricing arithmetic average reset options with multiple reset dates in a lattice framework

DOI10.1016/j.cam.2011.05.041zbMath1218.91168OpenAlexW2139441884MaRDI QIDQ633988

Emilio Russo, Massimo Costabile, Ivar Massabò

Publication date: 2 August 2011

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2011.05.041

zbMATH Keywords

discrete time modelsbinomial algorithmsreset options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Moving average options: machine learning and Gauss-Hermite quadrature for a double non-Markovian problem ⋮ Valuation on an outside-reset option with multiple resettable levels and dates

Cites Work

• The Pricing of Options and Corporate Liabilities
• Convergence of numerical methods for valuing path-dependent options using interpolation
• ON THE VALUATION OF DERIVATIVES WITH SNAPSHOT RESET FEATURES
• PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
• Convergence of Binomial Tree Methods for European/American Path-Dependent Options
• Option pricing: A simplified approach