Chang C.-C.Chung S.-L.Shackleton M.B.2019-07-222019-07-22200414697688https://scholars.lib.ntu.edu.tw/handle/123456789/414512This 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.journal article10.1088/1469-7688/4/3/0052-s2.0-3142616448https://www.scopus.com/inward/record.uri?eid=2-s2.0-3142616448&doi=10.1088%2f1469-7688%2f4%2f3%2f005&partnerID=40&md5=7ef23ee00f0ca2cc0374ac87015ab986