ON THE VALUATION OF DERIVATIVES WITH SNAPSHOT RESET FEATURES
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Publication:3621566
DOI10.1142/S0219024908005081zbMath1175.91187MaRDI QIDQ3621566
William T. Shaw, Eric C. K. Yu
Publication date: 21 April 2009
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Related Items (3)
On pricing arithmetic average reset options with multiple reset dates in a lattice framework ⋮ Valuation on an outside-reset option with multiple resettable levels and dates ⋮ A note on ``Monte Carlo analysis of convertible bonds with reset clauses
Cites Work
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- A generalization of exotic options pricing formulae
- Monte Carlo analysis of convertible bonds with reset clauses
- Numerical Methods and Volatility Models for Valuing Cliquet Options
- Discrete time hedging errors for options with irregular payoffs
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