| dc.contributor | 金融系 | - |
| dc.creator (作者) | Liao, Szu-Lang;Wang, Chou-Wen | - |
| dc.creator (作者) | 廖四郎 | - |
| dc.date (日期) | 2003-01 | - |
| dc.date.accessioned | 14-Jan-2015 14:28:13 (UTC+8) | - |
| dc.date.available | 14-Jan-2015 14:28:13 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-Jan-2015 14:28:13 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/72864 | - |
| dc.description.abstract (摘要) | This article makes 2 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 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. | - |
| dc.format.extent | 761336 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | The Journal of Futures Markets, 23(1), 87-107 | - |
| dc.title (題名) | The valuation of reset options with multiple strike resets and reset dates | - |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1002/fut.10055 | en_US |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1002/fut.10055 | en_US |
