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Reset Put Options: Valuation, Risk Characteristics, and an Application

Gray, Stephen F.; Whaley, Robert E. - In: Australian Journal of Management 24 (1999) 1, pp. 1-20

A reset put option is similar to a standard put option except that the exercise price is reset equal to the stock price on the preâ€specified reset date if this stock price exceeds the original exercise price. In this paper we derive a valuation for Mula for a reset put option and present a...

Persistent link: https://www.econbiz.de/10010769536

Regime switching in foreign exchange rates: Evidence from currency option prices

Bollen, Nicolas P. B.; Gray, Stephen F.; Whaley, Robert E. - In: Journal of Econometrics 94 (2000) 1-2, pp. 239-276

Persistent link: https://www.econbiz.de/10005238963

Stock splits: implications for investor trading costs

Gray, Stephen F.; Smith, Tom; Whaley, Robert E. - In: Journal of Empirical Finance 10 (2003) 3, pp. 271-303

Persistent link: https://www.econbiz.de/10005199013

Papers - 1 - Reset Put Options: Valuation, Risk Characteristics, and an Application

Gray, Stephen F.; Whaley, Robert E. - In: Australian journal of management 24 (1999) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10006987974

Stock splits: implications for investor trading costs

Gray, Stephen F.; Smith, Tom; Whaley, Robert E. - In: Journal of empirical finance 10 (2003) 3, pp. 271-304

Persistent link: https://www.econbiz.de/10007233233

VALUING S&P 500 BEAR MARKET WARRANTS WITH A PERIODIC RESET

Gray, Stephen F.; Whaley, Robert E. - In: The journal of derivatives : the official publication … 5 (1997) 1, pp. 99

Persistent link: https://www.econbiz.de/10007368286