Options with combined reset rights on strike and maturity

DOI10.1016/J.JEDC.2004.09.001zbMATH Open1198.91206OpenAlexW3121280146WikidataQ60148461 ScholiaQ60148461MaRDI QIDQ956445FDOQ956445

Yue Kuen Kwok, Min Dai

Publication date: 25 November 2008

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2004.09.001

Recommendations

• Options with Multiple Reset Rights
• OPTIMAL SHOUTING POLICIES OF OPTIONS WITH STRIKE RESET RIGHT
• ON THE VALUATION OF DERIVATIVES WITH SNAPSHOT RESET FEATURES
• On pricing model of the reset option with \(N\) predetermined levels
• Valuation on an outside-reset option with multiple resettable levels and dates

zbMATH Keywords

optimal stoppingfree boundary value problemsmaturity extensionstrike reset

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35)

Cites Work

• Title not available (Why is that?)
• Valuation of segregated funds: shout options with maturity extensions.
• OPTIMAL SHOUTING POLICIES OF OPTIONS WITH STRIKE RESET RIGHT

Cited In (6)

• Valuation on an outside-reset option with multiple resettable levels and dates
• Options with Multiple Reset Rights
• ON THE VALUATION OF DERIVATIVES WITH SNAPSHOT RESET FEATURES
• The reset decision for segregated fund maturity guarantees
• OPTIMAL SHOUTING POLICIES OF OPTIONS WITH STRIKE RESET RIGHT
• MULTIPLE RESCINDABLE OPTIONS AND THEIR PRICING

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