| dc.creator (作者) | 廖四郎;王昭文 | zh_TW |
| dc.creator (作者) | LIAO, SZU-LANG ; WANG, CHOU-WEN | - |
| dc.date (日期) | 2002 | en_US |
| dc.date.accessioned | 14-Nov-2008 12:11:59 (UTC+8) | - |
| dc.date.available | 14-Nov-2008 12:11:59 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-Nov-2008 12:11:59 (UTC+8) | - |
| dc.identifier.uri (URI) | https://ah.lib.nccu.edu.tw/item?item_id=8322 | - |
| dc.description.abstract (摘要) | Based on the closed-form solutions of partial barrier options, we derive the prices of general reset options with\r\nm reset levels and continuous reset dates. Furthermore, we provide some special characteristics of reset call\r\nand put options. We explore the phenomena of delta jump existing for reset call and put options during the entire\r\nreset period whenever the stock price touches the barriers. For practical application, we use the reset call\r\noptions with continuous reset dates as control variates to evaluate the prices of six arithmetic average reset\r\noptions listed on Taiwan Stock Exchange from 1998 to 1999. | - |
| dc.format | application/ | en_US |
| dc.language | en | en_US |
| dc.language | en-US | en_US |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | Journal of Derivatives, 10, 59-74 | en_US |
| dc.title (題名) | Pricing Arithmetic Average Reset Options with Control Variates | en_US |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.3905/jod.2002.319196 | en_US |
| dc.doi.uri (DOI) | http://dx.doi.org/10.3905/jod.2002.319196 | en_US |
