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    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/7411
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/7411

    Title: Pricing Arithmetic Average Reset Options with Control Variates
    Authors: 廖四郎;王昭文
    Date: 2002
    Issue Date: 2008-11-14 12:11:59 (UTC+8)
    Abstract: Based on the closed-form solutions of partial barrier options, we derive the prices of general reset options with
    m reset levels and continuous reset dates. Furthermore, we provide some special characteristics of reset call
    and put options. We explore the phenomena of delta jump existing for reset call and put options during the entire
    reset period whenever the stock price touches the barriers. For practical application, we use the reset call
    options with continuous reset dates as control variates to evaluate the prices of six arithmetic average reset
    options listed on Taiwan Stock Exchange from 1998 to 1999.
    Relation: Journal of Derivatives, 10, 59-74
    Data Type: article
    DOI 連結: http://dx.doi.org/10.3905/jod.2002.319196
    DOI: 10.3905/jod.2002.319196
    Appears in Collections:[金融學系] 期刊論文

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