The Pricing Of Reset Options In An Actuarial Approach

In 1998 Mogens Bladt and Tina Hviid Rydberg put forward the actuarial option pricing approach, which the prerequisite does not involve in any economic assumption. It breaks though the restrictions that traditional pricing methods are based on the assumption of no arbitrage, well balanced and complete market, and extends the traditional pricing methods.As a kind of path dependence options, Reset options are one of the normal exotic options, and their execution are dependent on the level between underlying assets price and strike price. So the price of Reset options is lower than that of the standard option, therefore it is more popular in currency and commodity markets. For the widely application of Reset options, the dissertation studies how to transplant the actuarial option pricing approach to the pricing of Reset options, and obtains the following results:1. Extends the actuarial option pricing approach, and obtains the formula of option when the stocks process submits to fractional Brown motion;2. Under the hypothesis of stock price submitting to Fractional Brown Motion, we study the Reset option without continuous dividend payments and with continuous dividend payments, and power payoffs reset option. Then we give pricing formula;3. In order to get close to real financial markets, we study the pricing formula of Reset option when the stock price is driven by the exponential Ornstein-Uhlenback process.