Pricing of Reset Options with Multiple Strike Resets and Reset Dates under Two-Factor HJM Model

摘要：

　　Under the frame of HJM models which the term structure of forward rates by two independent Brownian Motions, the pricing formulas for the European bond option and reset option with multiple strike resets and reset dates.

关键词： Reset Options Two-Factor HJM Model Girsanovs theorem Martingale measure method

作者: ZHANG Yanwei WANG Wenwen ZHU Konglai

作者单位: Soft Power Research Centre,University of Jinan,P.R.China,250022 Institute of Information Engineering,Chinese Academy of Sciences,P.R.China,100093

会议类型: 国际会议

会议名称: The 7th International Institute of Statistics & Management Engineering Symposium(IISMES2015) (第七届国际统计与管理工程学术研讨会)

会议地点: 山东 日照

会议语种:英文

页码: 773-782

在线出版日期: 2015-08-17（万方平台首次上网日期，不代表论文的发表时间）