https://scholars.lib.ntu.edu.tw/handle/123456789/414512
Title: | Pricing options with American-style average reset features | Authors: | Chang C.-C. Chung S.-L. Shackleton M.B. |
Issue Date: | 2004 | Journal Volume: | 4 | Journal Issue: | 3 | Start page/Pages: | 292-300 | Source: | Quantitative Finance | Abstract: | 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 |
Appears in Collections: | 財務金融學系 |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.