I-Ming Jiang

Yuan Ze University

135, Far-East Rd., Chung-Li

Taoyuan, ROC

Taiwan

SCHOLARLY PAPERS

1

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4

Scholarly Papers (1)

1.

The Valuation of Reset Options When Underlying Assets are Autocorrelated

The International Journal of Business and Finance Research, Vol. 5, No. 2, pp. 95-114, 2011
Number of pages: 20 Posted: 03 Jul 2011
National Cheng Kung University, Yuan Ze University, Yuan Ze University and affiliation not provided to SSRN
Downloads 59 (440,781)

Abstract:

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Reset Option, Autocorrelation; MA(q) process, Delta Jump; Gamma Jump