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.
书籍详述: |
|
ISBN-13: |
978-3-639-82916-7 |
ISBN-10: |
3639829166 |
EAN: |
9783639829167 |
书籍语言: |
中文 |
By (author) : |
Zhi-Yuan Feng |
页数 : |
80 |
出版于: |
22.11.2016 |
分类: |
Money, Bank, Stock exchange |