## Abstract This study proposes a new design of reset options in which the option's exercise price adjusts gradually, based on the amount of time the underlying spent beyond prespecified reset levels. Relative to standard reset options, a stepβreset design offers several desirable properties. First
Spanning, valuation and options
β Scribed by Donald J. Brown; Stephen A. Ross
- Publisher
- Springer
- Year
- 1991
- Tongue
- English
- Weight
- 717 KB
- Volume
- 1
- Category
- Article
- ISSN
- 0938-2259
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
After the original version of this paper, the author became aware that Reiner (1991a, b) had also suggested that working in units of the underlying security price could reduce the problem of valuing lookback options to one involving a single stochastic variable, which might then be approximated by a
## Abstract Canonical valuation is a nonparametric method for valuing derivatives proposed by M. Stutzer (1996). Although the properties of canonical estimates of option price and hedge ratio have been studied in simulation settings, applications of the methodology to traded derivative data are rar