The Valuation of Bond Options with Multiple Reset Rights - Couverture souple

Feng, Zhi-Yuan; Liu, Yu-Hong

Couverture souple

ISBN 10 : 3639829166 ISBN 13 : 9783639829167

Editeur : 金琅学术出版社, 2016

Synopsis

This book proposes a pricing formula to price bond options with an adjustable strike price at one predetermined reset date, multiple predetermined reset dates, even m reset levels with continuous reset dates by setting the forward rate as a numeraire. Moreover, this investigation applies the martingale technique to examine the pricing formula for a reset feature embedded in the continuous geometric average of Asian derivatives, and further uses this formula to approximate an analytic solution for continuous arithmetic average of Asian derivatives.

A propos du livre

À propos de l?auteur

Zhi-Yuan Feng, Ph.D. in Finance, National Cheng Kung University, Taiwan (AACSB Accredited). Research Specialties: Corporate Finance, Exotic Option and Derivatives. The author has already published several papers on the international journals which are indexed by SSCI, SCI, and TSSCI.

Détails de l'édition

• Éditeur: 金琅学术出版社
• Date d'édition: 2016
• Langue: chinois
• ISBN 10: 3639829166
• ISBN 13: 9783639829167
• Reliure: Broché
• Nombre de pages: 80
• Coordonnées du fabricant: non disponible
• Personne responsable: non disponible