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.
Book Details: |
|
ISBN-13: |
978-3-639-82916-7 |
ISBN-10: |
3639829166 |
EAN: |
9783639829167 |
Book language: |
中文 |
By (author) : |
Zhi-Yuan Feng |
Number of pages: |
80 |
Published on: |
2016-11-22 |
Category: |
Money, Bank, Stock exchange |