The Valuation of Bond Options with Multiple Reset Rights的封面
书籍主题:

The Valuation of Bond Options with Multiple Reset Rights

金琅学术出版社 (2016-11-22 )

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ISBN-13:

978-3-639-82916-7

ISBN-10:
3639829166
EAN:
9783639829167
书籍语言:
作品简介:
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.
出版社 :
金琅学术出版社
网址:
https://www.goldenlight-publishing.com
由(作者):
Zhi-Yuan Feng, Yu-Hong Liu
页码 :
80
发表日期:
2016-11-22
现货:
备有现货
类别:
金钱,银行,证券交易
价格:
17.80 €
关键词:
Multiple Reset Options, Bond Option, Hull-White Model

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