@inproceedings{28828dab249b4fb8a228268ee238117e,
title = "Analytics and algorithms for geometric average trigger reset options",
abstract = "The geometric average trigger reset option resets the strike price based on the geometric average of the underlying asset's prices over a monitoring window. This paper derives an analytic formula and two numerical methods for pricing this option with multiple resets. The analytic formula in fact is a corollary of a general formula that holds for a large class of path-dependent options: It prices any option whose payoff function can be written as eb-X1{XεA}. For general American-style reset options, an O(n4h2-time algorithm on n-period binomial lattice is presented. A much more efficient O(n3hm)-time algorithm prices European-style reset options. Monte Carlo simulation suggests that the European-style geometric average trigger reset option and the arithmetic version have similar option values. This implies that results in this paper give tight prices for the difficult arithmetic version.",
keywords = "Algorithm design and analysis, Arithmetic, Computer science, Computerized monitoring, Finance, Investments, Lattices, Monte Carlo methods, Pricing, Protection",
author = "Tian-Shyr Dai and Chen, {I. Yuan} and Fang, {Yuh Yuan} and Lyuu, {Yuh Dauh}",
note = "Publisher Copyright: {\textcopyright} 2003 IEEE.; 2003 IEEE International Conference on Computational Intelligence for Financial Engineering, CIFEr 2003 ; Conference date: 20-03-2003 Through 23-03-2003",
year = "2003",
doi = "10.1109/CIFER.2003.1196242",
language = "English",
series = "IEEE/IAFE Conference on Computational Intelligence for Financial Engineering, Proceedings (CIFEr)",
publisher = "Institute of Electrical and Electronics Engineers Inc.",
pages = "55--62",
booktitle = "2003 IEEE International Conference on Computational Intelligence for Financial Engineering, CIFEr 2003 - Proceedings",
address = "美國",
}