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    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:[財務金融研究所] 期刊論文

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