✦ LIBER ✦

The valuation of reset options with multiple strike resets and reset dates

✍ Scribed by Szu-Lang Liao; Chou-Wen Wang

Publisher: John Wiley and Sons
Year: 2002
Tongue: English
Weight: 269 KB
Volume: 23
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.10055

No coin nor oath required. For personal study only.

✦ Synopsis

Abstract

This article makes two contributions to the literature. The first contribution is to provide the
closed‐form pricing formulas of reset options with strike resets and predecided reset dates. The exact
closed‐form pricing formulas of reset options with strike resets and continuous reset period are also
derived. The second contribution is the finding that the reset options not only have the phenomena of Delta jump
and Gamma jump across reset dates, but also have the properties of Delta waviness and Gamma waviness, especially
near the time before reset dates. Furthermore, Delta and Gamma can be negative when the stock price is near the
strike resets at times close to the reset dates. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark
23:87–107,2003

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