Pricing geometric average trigger reset option with predetermined levels

zbMATH Open1374.91127MaRDI QIDQ2987553FDOQ2987553

Authors: Huan Xi, Yuhua Su, Wei Jiang 

Publication date: 17 May 2017

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zbMATH Keywords

path-dependent optionsreset optionsgeometric averagemeasure transformationrisk hedge

Mathematics Subject Classification ID

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

Cited In (5)

• Pricing options with American-style average reset features
• On pricing model of the reset option with \(N\) predetermined levels
• Pricing geometric average trigger reset option with predetermined levels in an affine diffusion model with double jumps
• Pricing geometric average trigger reset option with predetermined levels based on double exponential jump-diffusion model with stochastic interest rate
• Title not available (Why is that?)

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