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https://ah.lib.nccu.edu.tw/handle/140.119/7445
題名: | The Valuation of Reset Options with Multipla Strike Resets and Reset Dates | 作者: | 廖四郎;王昭文 Liao, Szu-Lang ; Wang, Chou-Wen |
貢獻者: | 金融系 | 日期: | 2002 | 上傳時間: | 14-Nov-2008 | 摘要: | This article makes two contributions to the literature. The first contribution is to provide the closed-form pricing formulas of reset options with strike resets and predecided reset dates. The exact closed-form pricing formulas of reset options with strike resets and continuous reset period are also derived. The second contribution is the finding that the reset options not only have the phenomena of Delta jump and Gamma jump across reset dates, but also have the properties of Delta waviness and Gamma waviness, especially near the time before reset dates. Furthermore, Delta and Gamma can be negative when the stock price is near the strike resets at times close to the reset dates. | 關聯: | Journal of Futures Markets, 23, 87-107 | 資料類型: | article | DOI: | http://dx.doi.org/10.1002/fut.10055 |
Appears in Collections: | 期刊論文 |
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