This study extends the Hull and White (1993) binomial method to construct a trinomial model for the valuation of American-style warrants whose strike price can be reset to a new price level. The reset criteria is conditioned upon the average underlying asset price hitting the reset barrier in a...

This paper generalizes the seminal Cox-Ross-Rubinstein (1979) binomial option pricing model to all members of the class of transformed-binomial pricing processes. Our investigation addresses issues related with asset pricing modeling, hedging strategies, and option pricing. We derive explicit...

In this paper we re-examine the American-style option pricing formula of Geske and Johnson (1984) and extend the analysis by deriving a modified formula that can overcome the possibility of non-uniform convergence encountered in the original Geske-Johnson methodology. Furthermore, we propose a...

Most papers studying loan guarantee are under a one-borrower and one-guarantor framework. This study uses the option approach to construct models in which loan guarantees are analyzed under a multiple-borrower and one-guarantor framework and under a one-borrower and multiple-guarantor structure...

This paper describes four separate option types as special cases of Bermudans with general inter - exercise and time to final maturity. This produces a surface with European, finite American, infinite Bermudan and infinite American options as special cases. This allows Geske-Johnson 1984)...

This paper examines the hedging impact on the underlying stock market using a comprehensive dataset of covered warrants traded in the Taiwan Stock Exchange (TWSE). Since TWSE requires the warrant issuers to conduct dynamic hedging over the life of warrants, we can estimate the number of shares...

This study investigates the institutional investors who hold nonzero synchronous positions in both derivative and underlying stocks to increase contract payoffs. We show that the potential manipulators settle or offset their TAIEX futures and options and simultaneously trade the constituent...