| ON PRICING MODEL OF THE RESET OPTION WITH N PREDETERMINED LEVELS |
| |
| 引用本文： | JIANGLishang YANGDesheng ZHANGShuguang. ON PRICING MODEL OF THE RESET OPTION WITH N PREDETERMINED LEVELS[J]. 系统科学与复杂性, 2004, 17(1): 137-142 |
| |
| 作者姓名： | JIANGLishang YANGDesheng ZHANGShuguang |
| |
| 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) |
| |
| 基金项目： | This research is supported by the National Natural Science Foundation of China(No.10171078) |
| |
| 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.
|
| 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 |
| |
| JIANG Lishang. ON PRICING MODEL OF THE RESET OPTION WITH N PREDETERMINED LEVELS[J]. Journal of Systems Science and Complexity, 2004, 17(1): 137-142 |
| |
| Authors: | JIANG Lishang |
| |
| 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. |
| |
| Keywords: | Reset option path-dependent barrier option. |
| 本文献已被 CNKI 维普 等数据库收录！ |
