I introduce a derivative called “Snowball Currency Option” or “USDKRWSnowball Extendible At Expiry KO” which was traded once in the over-the-counter market in Korea. A snowball currency option consists of a series of maturities the payoffs at ...
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https://www.riss.kr/link?id=A82575870
2011
English
KCI우수등재,ESCI
학술저널
31-41(11쪽)
0
상세조회0
다운로드다국어 초록 (Multilingual Abstract)
I introduce a derivative called “Snowball Currency Option” or “USDKRWSnowball Extendible At Expiry KO” which was traded once in the over-the-counter market in Korea. A snowball currency option consists of a series of maturities the payoffs at ...
I introduce a derivative called “Snowball Currency Option” or “USDKRWSnowball Extendible At Expiry KO” which was traded once in the over-the-counter market in Korea. A snowball currency option consists of a series of maturities the payoffs at which are like those of a long position in a put option and two short position in an otherwise identical call. The strike price at each maturity depends on the exchange rate and the previous strike price so that the strike prices are random and path-dependent, which makes it difficult to find a closed form solution of the value of a snowball currency option. I analyze the payoff structure of a snowball currency option and derive an upper and a lower boundaries of the value of it in a simplified model. Furthermore, I derive a pricing formula using integral in the simplified model.
목차 (Table of Contents)
HIGH-ORDER NEWTON-KRYLOV METHODS TO SOLVE SYSTEMS OF NONLINEAR EQUATIONS
AN ACCURATE AND EFFICIENT CALCULATION OF HIGH ENTHALPY FLOWS USING A HIGH ORDER NEW LIMITING PROCESS
A COST-EFFECTIVE MODIFICATION OF THE TRINOMIAL METHOD FOR OPTION PRICING
THE EFFECTS OF MESH STYLE ON THE FINITE ELEMENT ANALYSIS FOR ARTIFICIAL HIP JOINTS