Pricing options with American-style average reset features

NCUIR > School of Management at National Central University > Graduate Institute of Finance > journal & Dissertation > Item 987654321/31328

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/31328

Title:	Pricing options with American-style average reset features
Authors:	Chang,CC;Chung,SL;Shackleton,MB
Contributors:	財務金融研究所
Keywords:	PATH-DEPENDENT OPTIONS;SIMULATION;SECURITIES
Date:	2004
Issue Date:	2010-07-06 17:42:21 (UTC+8)
Publisher:	中央大學
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 aver
Relation:	QUANTITATIVE FINANCE
Appears in Collections:	[Graduate Institute of Finance] journal & Dissertation

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