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A generalization of reset options pricing formulae with stochastic interest rates

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  • Li, Shu Jin
  • Li, Sheng Hong
  • Sun, Chao

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  • Li, Shu Jin & Li, Sheng Hong & Sun, Chao, 2007. "A generalization of reset options pricing formulae with stochastic interest rates," Research in International Business and Finance, Elsevier, vol. 21(2), pages 119-133, June.
    • Handle: RePEc:eee:riibaf:v:21:y:2007:i:2:p:119-133
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    References listed on IDEAS

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    1. Kang, Jangkoo & Kim, Hwa-Sung, 2005. "Pricing counterparty default risks: Applications to FRNs and vulnerable options," International Review of Financial Analysis, Elsevier, vol. 14(3), pages 376-392.
    2. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
    3. Orlin Grabbe, J., 1983. "The pricing of call and put options on foreign exchange," Journal of International Money and Finance, Elsevier, vol. 2(3), pages 239-253, December.
    4. Amin, Kaushik I & Bodurtha, James N, Jr, 1995. "Discrete-Time Valuation of American Options with Stochastic Interest Rates," Review of Financial Studies, Society for Financial Studies, vol. 8(1), pages 193-234.
    5. Orlin J. Grabbe, "undated". "The Pricing of Call and Put Options on Foreign Exchange," Rodney L. White Center for Financial Research Working Papers 6-83, Wharton School Rodney L. White Center for Financial Research.
    6. Hilliard, Jimmy E. & Madura, Jeff & Tucker, Alan L., 1991. "Currency Option Pricing with Stochastic Domestic and Foreign Interest Rates," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(2), pages 139-151, June.
    7. Orlin J. Grabbe, "undated". "The Pricing of Call and Put Options on Foreign Exchange," Rodney L. White Center for Financial Research Working Papers 06-83, Wharton School Rodney L. White Center for Financial Research.
    8. Kaushik I. Amin & Robert A. Jarrow, 2008. "Pricing foreign currency options under stochastic interest rates," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 14, pages 307-326, World Scientific Publishing Co. Pte. Ltd..
    9. Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(4), pages 627-627, November.
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    Cited by:

    1. Yang, Jingyang & Choi, Yoon & Li, Shenghong & Yu, Jinping, 2010. "A note on "Monte Carlo analysis of convertible bonds with reset clause"," European Journal of Operational Research, Elsevier, vol. 200(3), pages 924-925, February.
    2. Guangming Xue & Bin Qin & Guohe Deng, 2018. "Valuation on an Outside-Reset Option with Multiple Resettable Levels and Dates," Complexity, Hindawi, vol. 2018, pages 1-13, April.

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