Dai, Tian-Shyr; Fang, Yuh-Yuan; Lyuu, Yuh-Dauh - In: Applied Economics Letters 12 (2005) 13, pp. 835-840
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. Similar contracts have been traded on exchanges in Asia. This paper derives an analytic formula for pricing this option with multiple...