For the reset-strike put option, assuming r q, show that the early reset premium is given
Question:
For the reset-strike put option, assuming r ≤ q, show that the early reset premium is given by (Dai, Kwok and Wu, 2004)
![where e(s, t) = Seqt d1.t-u T N (d,r-u); d -[eu p* (u)] du, du S - In 5) + (r-q+)(t u) S* (u)](https://dsd5zvtm8ll6.cloudfront.net/images/question_images/1700/5/5/1/453655c5b1d06b321700551451011.jpg)
How do we modify the formula when r > q?
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To derive the formula for the early reset premium of a resetstrike put option when ...View the full answer
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