A Valuation of Reset Chooser Options
| Autor: | Jia-Hang Li, 李佳航 |
|---|---|
| Rok vydání: | 2012 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 100 This study discusses and values the reset chooser options that are composed of the reset options and chooser options. The reset chooser option allows its holders to reset strike prices at the specific reset date and to choose strike type of call or put at the specific selective date. When the financial market stays in some kind of unfavorable condition toward investors, the strike price of reset chooser option would be automatically reset. Therefore, the options are valued in a higher premium because of additional protections regarding unfavorable market condition for the holders. In this study, applying the analytical framework of Black &; Scholes’s (1973) European option pricing model, we incorporate reset property and type choices from the studies of Gray and Whaley (1999) and Rubinstein (1991). Specifically, we analyze how the option values are affected by the maturity date, reset timing, and selective timing, and discuss the hedge ratio and other parameters for risk-controlling. By studying reset chooser options, we can clearly understand about mixed exotic options. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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