| ON PRICING MODEL OF THE RESET OPTION WITH N PREDETERMINED LEVELS |
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| 作者姓名： | JIANGLishang YANGDesheng ZHANGShuguang |
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| 作者单位： | JIANG Lishang (Institute of Mathematics，Tongji University，Shanghai 200092，China)
YANG Desheng
(School of Mathematical Sciences and Computing Technology，Central South University，Changsha 410083，China)
ZHANG Shuguang
(Department of Statistic and Finance，The University of Science and Technology of China，Hefei 230026，China) |
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| 基金项目： | This research is supported by the National Natural Science Foundation of China(No.10171078) |
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| 摘 要： | Motivated by the reset option with n predetermined dates analyzed by W.Cheng, we consider a kind of reset option with uncertain dates by introducing N pre-specified barrier levels. We claim this reset option consists of some standard knock-in andknock-out barrier options. The closed-form pricing formula is derived by means of a PDE's approach.
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| 关 键 词： | 定价模型 证券市场 履约价格 正态分布 |
ON PRICING MODEL OF THE RESET OPTION WITH N PREDETERMINED LEVELS |
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| JIANGLishang YANGDesheng ZHANGShuguang.ON PRICING MODEL OF THE RESET OPTION WITH N PREDETERMINED LEVELS[J].Journal of Systems Science and Complexity,2004,17(1):137-142. |
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| Authors: | JIANG Lishang |
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| Abstract: | Motivated by the reset option with n predetermined dates analyzed by W. Cheng, we consider a kind of reset option with uncertain dates by introducing N pre-specified barrier levels. We claim this reset option consists of some standard knock-in and knock-out barrier options. The closed-form pricing formula is derived by means of a PDE's approach. |
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| Keywords: | Reset option path-dependent barrier option |
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