Options with Multiple Reset Rights

DOI10.1142/S0219024903002146MaRDI QIDQ5696875zbMATH OpenWikidataFDO

Authors Min Dai, Yue Kuen Kwok, Lixin Wu

Publication date 19 October 2005

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

Full work available at URL https://doi.org/10.1142/S0219024903002146

zbMATH Keywords

free boundary value problemsoptimal reset policiesreset optionsshout feature

Mathematics Subject Classification ID

Free boundary problems for PDEs (35R35)

Recommendations

• Options with combined reset rights on strike and maturity
• OPTIMAL SHOUTING POLICIES OF OPTIONS WITH STRIKE RESET RIGHT
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Cites work

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

Cited in

(12)

• Valuation on an outside-reset option with multiple resettable levels and dates
• Exact solutions for a strike reset put option and a shout call option
• scientific article; zbMATH DE number 5811804 (Why is no real title available?)
• ON THE VALUATION OF DERIVATIVES WITH SNAPSHOT RESET FEATURES
• OPTIMAL SHOUTING POLICIES OF OPTIONS WITH STRIKE RESET RIGHT
• MULTIPLE RESCINDABLE OPTIONS AND THEIR PRICING
• Pricing corporate debt with finite maturity and chapter 11 proceedings
• The regularity of the free boundary for strike reset option
• Reset option pricing with predetermined levels for uncertain currency models
• Optimal multiple stopping models of reload options and shout options
• Reset and withdrawal rights in dynamic fund protection
• Options with combined reset rights on strike and maturity

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