OPTIMAL SHOUTING POLICIES OF OPTIONS WITH STRIKE RESET RIGHT

DOI10.1111/J.0960-1627.2004.00196.XMaRDI QIDQ4673848zbMATH OpenOpenAlexWikidataFDO

Authors Min Dai, Yue Kuen Kwok, Lixin Wu

Publication date 9 May 2005

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.0960-1627.2004.00196.x

Mathematics Subject Classification ID

Theoretical approximation of solutions to integral equations (45L05) Stopping times; optimal stopping problems; gambling theory (60G40) Numerical methods for integral equations (65R20)

Recommendations

• Options with Multiple Reset Rights
• Exact solutions for a strike reset put option and a shout call option
• Options with combined reset rights on strike and maturity
• Shout options: A framework for pricing contracts which can be modified by the investor
• Integral equation formulation for shout options

Cites work

• Options with Multiple Reset Rights
• Shout options: A framework for pricing contracts which can be modified by the investor
• Understanding the Behavior and Hedging of Segregated Funds Offering the Reset Feature
• Valuation of segregated funds: shout options with maturity extensions.

Cited in

(14)

• 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
• Optimal policies of call with notice period requirement
• Optimal redeeming strategy of stock loans with finite maturity
• Integral equation formulation for shout options
• Optimal stock selling/buying strategy with reference to the ultimate average
• Options with Multiple Reset Rights
• Shout options: A framework for pricing contracts which can be modified by the investor
• Stock loan with automatic termination clause, cap and margin
• Pricing of shout option in uncertain financial market
• Reset option pricing with predetermined levels for uncertain currency models
• Optimal multiple stopping models of reload options and shout options
• A parabolic variational inequality arising from the valuation of strike reset options
• Options with combined reset rights on strike and maturity

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