[HTML][HTML] On pricing arithmetic average reset options with multiple reset dates in a lattice framework
M Costabile, I Massab�, E Russo�- Journal of computational and applied�…, 2011 - Elsevier
We develop a straightforward algorithm to price arithmetic average reset options with
multiple reset dates in a Cox et al.(CRR)(1979)[10] framework. The use of a lattice approach
is due to its adaptability and flexibility in managing arithmetic average reset options, as
already evidenced by Kim et al.(2003)[9]. Their model is based on the Hull and White
(1993)[5] bucketing algorithm and uses an exogenous exponential function to manage the
averaging feature, but their choice of fictitious values does not guarantee the algorithm's�…
multiple reset dates in a Cox et al.(CRR)(1979)[10] framework. The use of a lattice approach
is due to its adaptability and flexibility in managing arithmetic average reset options, as
already evidenced by Kim et al.(2003)[9]. Their model is based on the Hull and White
(1993)[5] bucketing algorithm and uses an exogenous exponential function to manage the
averaging feature, but their choice of fictitious values does not guarantee the algorithm's�…
On pricing arithmetic reset options with multiple reset dates in a lattice framework
M Costabile, I Massabo, E Russo�- JOURNAL OF COMPUTATIONAL�…, 2011 - iris.unical.it
We develop a straightforward algorithm to price arithmetic average reset options with
multiple reset dates in a Cox et al.(CRR)(1979) framework. The use of a lattice approach is
due to its adaptability and flexibility in managing arithmetic average reset options, as already
evidenced by Kim et al.(2003). Their model is based on the Hull and White (1993) bucketing
algorithm and uses an exogenous exponential function to manage the averaging feature,
but their choice of fictitious values does not guarantee the algorithm's convergence (cfr�…
multiple reset dates in a Cox et al.(CRR)(1979) framework. The use of a lattice approach is
due to its adaptability and flexibility in managing arithmetic average reset options, as already
evidenced by Kim et al.(2003). Their model is based on the Hull and White (1993) bucketing
algorithm and uses an exogenous exponential function to manage the averaging feature,
but their choice of fictitious values does not guarantee the algorithm's convergence (cfr�…
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