The valuation of forward-start rainbow options
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| 024 | 7 | 0 | |a 10.1007/s11147-014-9105-0 |2 doi |
| 035 | |a (NATIONALLICENCE)springer-10.1007/s11147-014-9105-0 | ||
| 245 | 0 | 4 | |a The valuation of forward-start rainbow options |h [Elektronische Daten] |c [Chun-Ying Chen, Hsiao-Chuan Wang, Jr-Yan Wang] |
| 520 | 3 | |a This paper studies the valuation and hedging problems of forward-start rainbow options (FSROs). By combining the characteristics of both multiple assets and forward-start feature, this new type of derivative has many potential applications, for instance, to incorporate the reset provision in rainbow options for investors or hedgers or design more effective executive compensation plans. The main contribution of this paper is a novel martingale pricing technique for options whose payoffs are associated with multiple assets and time points. Equipped with this technique, the analytic pricing formula and the formulae of the delta and gamma of the FSRO are first derived. We conduct numerical experiments to verify these formulae and examine the characteristics of the FSRO's price and Greek letters. To demonstrate the importance and general applicability of the proposed technique, we also apply it to deriving the pricing formula for the discrete-sampling lookback rainbow options. | |
| 540 | |a Springer Science+Business Media New York, 2014 | ||
| 690 | 7 | |a Discrete-sampling path-dependent option |2 nationallicence | |
| 690 | 7 | |a Rainbow option |2 nationallicence | |
| 690 | 7 | |a Forward-start option |2 nationallicence | |
| 690 | 7 | |a Reset option |2 nationallicence | |
| 690 | 7 | |a Lookback option |2 nationallicence | |
| 700 | 1 | |a Chen |D Chun-Ying |u Department of Finance, National Taiwan University, No. 1, Sec. 4, Roosevelt Rd., 106, Taipei, Taiwan |4 aut | |
| 700 | 1 | |a Wang |D Hsiao-Chuan |u Department of Finance, National Taiwan University, No. 1, Sec. 4, Roosevelt Rd., 106, Taipei, Taiwan |4 aut | |
| 700 | 1 | |a Wang |D Jr-Yan |u Department of International Business, National Taiwan University, No. 1, Sec. 4, Roosevelt Rd., 106, Taipei, Taiwan |4 aut | |
| 773 | 0 | |t Review of Derivatives Research |d Springer US; http://www.springer-ny.com |g 18/2(2015-07-01), 145-188 |x 1380-6645 |q 18:2<145 |1 2015 |2 18 |o 11147 | |
| 856 | 4 | 0 | |u https://doi.org/10.1007/s11147-014-9105-0 |q text/html |z Onlinezugriff via DOI |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 900 | 7 | |a Metadata rights reserved |b Springer special CC-BY-NC licence |2 nationallicence | |
| 908 | |D 1 |a research-article |2 jats | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-springer | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.1007/s11147-014-9105-0 |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Chen |D Chun-Ying |u Department of Finance, National Taiwan University, No. 1, Sec. 4, Roosevelt Rd., 106, Taipei, Taiwan |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Wang |D Hsiao-Chuan |u Department of Finance, National Taiwan University, No. 1, Sec. 4, Roosevelt Rd., 106, Taipei, Taiwan |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Wang |D Jr-Yan |u Department of International Business, National Taiwan University, No. 1, Sec. 4, Roosevelt Rd., 106, Taipei, Taiwan |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Review of Derivatives Research |d Springer US; http://www.springer-ny.com |g 18/2(2015-07-01), 145-188 |x 1380-6645 |q 18:2<145 |1 2015 |2 18 |o 11147 | ||