Options with combined reset rights on strike and maturity

DOI10.1016/J.JEDC.2004.09.001MaRDI QIDQ956445zbMATH OpenOpenAlexWikidataFDO

Authors Min Dai, Yue Kuen Kwok

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

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)

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

Cites work

• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• OPTIMAL SHOUTING POLICIES OF OPTIONS WITH STRIKE RESET RIGHT
• Valuation of segregated funds: shout options with maturity extensions.

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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