ON THE VALUATION OF DERIVATIVES WITH SNAPSHOT RESET FEATURES

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)

zbMATH Keywords

similarity reductionmoneynessrefixstrike/conversion price reset

Mathematics Subject Classification ID

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

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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• The Pricing of Options and Corporate Liabilities
• Variable purchase options
• Options with combined reset rights on strike and maturity
• Similarity and decision-making under risk (Is there a utility theory resolution to the Allais paradox?)
• Exploding hedging errors for digital options
• 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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