Options with combined reset rights on strike and maturity

DOI10.1016/j.jedc.2004.09.001zbMath1198.91206OpenAlexW3121280146WikidataQ60148461 ScholiaQ60148461MaRDI QIDQ956445

Yue Kuen Kwok, Min Dai

Publication date: 25 November 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2004.09.001

zbMATH Keywords

optimal stoppingfree boundary value problemsmaturity extensionstrike reset

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35)

Related Items (2)

Valuation on an outside-reset option with multiple resettable levels and dates ⋮ ON THE VALUATION OF DERIVATIVES WITH SNAPSHOT RESET FEATURES

Cites Work

• Unnamed Item
• Valuation of segregated funds: shout options with maturity extensions.
• OPTIMAL SHOUTING POLICIES OF OPTIONS WITH STRIKE RESET RIGHT

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