Golden Light
Academic Publishing

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
Yu-Hong Liu

Number of pages:

80

Published on:

2016-11-22

Category:

Money, Bank, Stock exchange