Pricing Reset Option in a Fractional Brownian Motion Market

摘要：

The pricing formula of reset option with n pre-speci.ed reset dates when the underlying asset follows a geometric fractional Brownian motion, with Hurst parameter H. (0, 1), is considered. The close-form pricing formula of the reset option with a single reset date is derived for expositional simpli.cation. Furthermore, we apply this result to explore the phenomena of Delta jump across reset dates.

作者: DENG Guohe XI Huan

作者单位: School of Mathematics, Guangxi Normal University, Guilin 541004, P.R.China

会议类型: 国际会议

会议名称: The 30th Chinese Control Conference(第三十届中国控制会议)

会议地点: 烟台

会议语种:英文

页码: 1-5

在线出版日期: 2011-07-01（万方平台首次上网日期，不代表论文的发表时间）