A generalization of Gray and Whaley’s reset option

2015 ◽  
Vol 16 (4) ◽  
pp. 223-235 ◽  
Author(s):  
Alain François-Heude ◽  
Ouidad Yousfi
Keyword(s):  
Reset Option

scholarly journals Valuation on an Outside-Reset Option with Multiple Resettable Levels and Dates

Complexity ◽  
2018 ◽  
Vol 2018 ◽  
pp. 1-13
Author(s):  
Guangming Xue ◽  
Bin Qin ◽  
Guohe Deng
Keyword(s):  
Risky Asset ◽  
Option Prices ◽  
Strike Price ◽  
Numerical Examples ◽  
External Process ◽  
Reset Option ◽  
Pricing Formula

This paper studies an outside-reset option with multiple strike resets and reset dates, in which the strike price is adjusted by an external process associated with the underlying risky asset. We obtain analytical pricing formula for this option and the hedging parameters Delta and Gamma. Furthermore, some numerical examples are provided to analyze some characteristics of the outside-reset option and to examine the impacts of the external parameters on option prices and Greeks. These results show that the external process can significantly affect option prices and Greeks.

Progressive Ratio Performance with Reset Option

1968 ◽  
Vol 18 (4) ◽  
pp. 553-558 ◽  
Author(s):  
H. M. B. Hurwitz ◽  
Peter Harzem
Keyword(s):  
Progressive Ratio ◽  
Reset Option

scholarly journals Assessing Guaranteed Minimum Income Benefits and Rationality of Exercising Reset Options in Variable Annuities

2019 ◽  
Vol 8 (5) ◽  
pp. 13
Author(s):  
Riley Jones ◽  
Adriana Ocejo
Keyword(s):  
Interest Rates ◽  
Critical Value ◽  
Insurance Companies ◽  
Insurance Company ◽  
Future Projections ◽  
Minimum Income ◽  
Market Risks ◽  
Reset Option ◽  
Guaranteed Minimum Income ◽  
Payment Rate

A variable annuity is an equity-linked financial product typically offered by insurance companies. The policyholder makes an upfront payment to the insurance company and, in return, the insurer is required to make a series of payments starting at an agreed upon date. For a higher premium, many insurance companies offer additional guarantees or options which protect policyholders from various market risks. This research is centered around two of these options: the guaranteed minimum income benefit (GMIB) and the reset option. The sensitivity of various parameters on the value of the GMIB is explored, particularly the guaranteed payment rate set by the insurer. Additionally, a critical value for future interest rates is calculated to determine the rationality of exercising the reset option. This will be able to provide insight to both the policyholder and policy writer on how their future projections on the performance of the stock market and interest rates should guide their respective actions of exercising and pricing variable annuity options. This can help provide details into the value of adding options to a variable annuity for companies that are looking to make variable annuity policies more attractive in a competitive market.

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