원문정보
보안공학연구지원센터(IJUNESST)
International Journal of u- and e- Service, Science and Technology
Vol.9 No.10
2016.10
pp.93-102
피인용수 : 0건 (자료제공 : 네이버학술정보)
초록
영어
Integrate the features of the geometric average in Asian option into level reset option, thus closed-form solution of geometric level reset options obtained through measure transformation and martingale pricing method. Numerical analysis results show that the geometric level reset call prices are increased with the increase of the number of level reset price, the risk hedge Δ value and the standard European call option are much closed, but there is no Δ jump phenomena of standard reset options.
목차
Abstract
1. Introduction
2. Geometric Level Reset Option Model
3. Risk Hedging
4. Numerical Result and Analysis
5. Conclusion
References
1. Introduction
2. Geometric Level Reset Option Model
3. Risk Hedging
4. Numerical Result and Analysis
5. Conclusion
References
저자정보
참고문헌
자료제공 : 네이버학술정보