https://scholars.lib.ntu.edu.tw/handle/123456789/414512
標題: | Pricing options with American-style average reset features | 作者: | Chang C.-C. Chung S.-L. Shackleton M.B. |
公開日期: | 2004 | 卷: | 4 | 期: | 3 | 起(迄)頁: | 292-300 | 來源出版物: | Quantitative Finance | 摘要: | This study extends the Hull and White (1993 J. Derivatives 1 21-31) binomial method to construct a trinomial model for the valuation of American-style options whose strike price can be reset to a new level. The reset criterion is conditioned upon the average underlying asset price hitting the reset barrier in a specified period although the model proposed can accommodate other features. For prices benchmarked against ordinary Asian options, we investigate the difference between a daily reset warrant and a period-average reset warrant and find that the number of time steps between observations affects the value of American-style average price options and period-average reset options. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/414512 | ISSN: | 14697688 | DOI: | 10.1088/1469-7688/4/3/005 |
顯示於: | 財務金融學系 |
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