Finite differential solutions of level-required reset option

DOI10.3969/J.ISSN.1008-5513.2013.04.004MaRDI QIDQ4980345zbMATH OpenFDO

Authors Sheng Zhu, Tao Ban, Huafei He

Publication date 30 June 2014

Full work available at URL https://doi.org/10.3969/J.ISSN.1008-5513.2013.04.004

zbMATH Keywords

\(\theta\)-methodC-N differential schemeoption pricingreset options

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• On pricing model of the reset option with N predetermined levels
• The reset option pricing in jump-diffusion models
• Pricing of the looking back-reset option with barrier
• A weighted-fractional model to reset option pricing
• The valuation formulas of reset put option with the jump-diffusion process

Cited in

(3)

• On pricing model of the reset option with N predetermined levels
• Pricing of the looking back-reset option with barrier
• Pricing a resettable convertible bond based on decomposition method and PDE models

This page was built for publication: Finite differential solutions of level-required reset option

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4980345)