The valuation formulas of reset put option with the jump-diffusion process

MaRDI QIDQ5482196zbMATH OpenFDO

Authors Yongqing Xu, Shiyin Li

Publication date 28 August 2006

zbMATH Keywords

reset optionItô-Skorokhod stochastic differential equationhedging systematic risk

Mathematics Subject Classification ID

Diffusion processes (60J60)

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• scientific article; zbMATH DE number 5026589
• Publication:4955466

Cited in

(7)

• Finite differential solutions of level-required reset option
• Valuation on an outside-reset option with multiple resettable levels and dates
• The reset option pricing in jump-diffusion models
• ON THE VALUATION OF DERIVATIVES WITH SNAPSHOT RESET FEATURES
• Explicit formula for the valuation of catastrophe put option with exponential jump and default risk
• Pricing reset options in asymmetric double exponential jump-diffusion models
• The Valuation of Elementary Exotics with Strike Resets

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