On pricing arithmetic average reset options with multiple reset dates in a lattice framework
نویسندگان
چکیده
منابع مشابه
On pricing arithmetic average reset options with multiple reset dates in a lattice framework
We develop a straightforward algorithm to price arithmetic average reset options with multiple reset dates in a Cox et al. (CRR) (1979) [10] framework. The use of a lattice approach is due to its adaptability and flexibility in managing arithmetic average reset options, as already evidenced by Kim et al. (2003) [9]. Their model is based on the Hull and White (1993) [5] bucketing algorithm and u...
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A derivative(or derivative security) is a financial instrument whose value depends on the value of other, more basic underlying variables, such as bonds or stocks. A stock option is a right to buy or sell a stock by a certain date for a certain price. The price in the contract is known as the exercise price or strike price; the date in the contract is known as the expiration date or maturity. S...
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2011
ISSN: 0377-0427
DOI: 10.1016/j.cam.2011.05.041