Pricing of Reset Put Options with Multiple Strike Resets

摘要：

Based on the reset option models with multiple strike resets provided by Cheng,Zhang and Liao,Wang,a new reset put option model is put forward.In this model,the reset strike price fluctuates as the stock price changes with the chance of reset price diminishing.Then,the pricing formula of multiple-point strike reset put options is obtained according to the martingale theory.

关键词： reset options martingale theory Brownian motion

作者: Lihong Yang Yunyan He

作者单位: College of Mathematical Sciences,South China Univ.of Tech.,Guangzhou 510640,China

会议类型: 国际会议

会议名称: The 2008 International Conference on Business Intelligence and Financial Engineering(BIFE 2008)(商业智能和金融工程国际会议)

会议地点: 长沙

会议语种:英文

页码: 662-667

在线出版日期: 2008-10-28（万方平台首次上网日期，不代表论文的发表时间）