I refer to stock or equity index call option or warrant whose strike price may be reset to a lower strike or a put whose strike price may be reset to a higher strike at some point during the life of the instrument if the option is out of the money on the reset date. Does anyone have any references on how to value and measure risk on these?Can anyone give a brief description of characteristics? e.g. the -ve gamma of a long reset call when atm and near reset due to the likelihood of price down and delta up (because strike reset down).I'd like to get a feel for these things. I work in Risk but am new to them.Many thanks.

the best is probably to play around with various models and implementations, not sure if it help but you can have a look at our article Who's on First Base? at least some references there to more reset option papers

Hi Collector,when it will be completely ready to work your web site?CheersJ

in a month or two....

QuoteOriginally posted by: Collectorin a month or two....what happened to your homepage, did you short the company providing the web service?

Hello,any additional articles on analysis of greeks and hedging applications of reset options?Thank you for your help.