Pricing the Innovative Reset Options with Power Payoff
In order to adapt to different requirements of the investors, an innovative reset options with power payoff at the time of maturity is devised. Furthermore, its pricing formula is obtained by using methods of martingale and stochastic analysis when bond price is a specied function of time, where markets is complete and no-arbitrage; there are no transaction costs; both bond and stock are freely and instantaneously tradable either long or short at the price quoted.
reset options innovative pricing martingale
Hui Ou
College of Mathematics and Computer Science Hunan Normal University Changsha, China
国际会议
太原
英文
391-394
2010-10-22（万方平台首次上网日期，不代表论文的发表时间）