Options with combined reset rights on strike and maturity-Reference-Cited by-同舟云学术

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Options with combined reset rights on strike and maturity

Published:2005-09 Issue:9 Volume:29 Page:1495-1515
ISSN:0165-1889
Container-title:Journal of Economic Dynamics and Control
language:en
Short-container-title:Journal of Economic Dynamics and Control

Author:

Dai Min,Kwok Yue Kuen

Publisher

Elsevier BV

Subject

Applied Mathematics,Control and Optimization,Economics and Econometrics

Reference6 articles.

1. Retractable and extendible bonds;Ananthanarayanan;Journal of Finance,1980

2. Cheuk, T.H.F., Vorst, T.C.F., 1997. Shout floors. Net Exposure 2, November issue.

3. Optimal shouting policies of options with strike reset right;Dai;Mathematical Finance,2004

4. Options, Futures, and Other Derivatives;Hull,2003

5. Pricing options with extendible maturities;Longstaff;Journal of Finance,1990

Cited by 7 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Fair-value analytical valuation of reset executive stock options consistent with IFRS9 requirements;Annals of Actuarial Science;2020-01-23

2. Valuation on an Outside-Reset Option with Multiple Resettable Levels and Dates;Complexity;2018

3. Bibliography;Manufacturing and Managing Customer-Driven Derivatives;2016-02-02

4. Structured Life Insurance Products: A Survey;SSRN Electronic Journal;2012

5. Modeling breach of contract risk through bundled options;The Journal of Operational Risk;2010-09

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