Pricing geometric average trigger reset option with predetermined levels

MaRDI QIDQ2987553zbMATH OpenFDO

Authors Huan Xi, Yuhua Su, Wei Jiang

Publication date 17 May 2017

zbMATH Keywords

path-dependent optionsreset optionsgeometric averagemeasure transformationrisk hedge

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(5)

• scientific article; zbMATH DE number 5670604 (Why is no real title available?)
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• Pricing options with American-style average reset features
• Pricing geometric average trigger reset option with predetermined levels based on double exponential jump-diffusion model with stochastic interest rate

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