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- W2077763914 abstract "This paper considers a particular type of re-settable strike-price put contract. This class of contract is important because it has come into widespread use as an embedded feature of investment vehicles such as segregated-funds investments and protected index notes. Holders of short positions in these contracts face a potential liability that crystallises if contracts mature at a time when market prices are below strike prices. This leads naturally to questions concerning the hedging behaviour of these products, and the value-at-risk associated with positions in them. We address these questions in this paper." @default.
- W2077763914 created "2016-06-24" @default.
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- W2077763914 date "2007-08-01" @default.
- W2077763914 modified "2023-09-24" @default.
- W2077763914 title "Pricing, value-at-risk and dynamic properties of re-settable strike-price puts" @default.
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- W2077763914 doi "https://doi.org/10.1057/palgrave.jdhf.1850069" @default.
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