Pricing Of The Innovative Reset Options Under Stochastic Interest

Option is a financial derivative product,which occurs from us.A in the middle of seventies.In the past two decades,it has been developed rapidly as an effective means for speculating and against risks.A lot of financial firms have been introducing some new options to attract investor .Single-point reset puts (Model 3.2)was introduced by Gray and Whaley.In this paper , in the complete markets, two innovations of the conventional single-point reset options are provided.Next,in the case of stochastic interest,the pricing formulas of the European contingent claim,the conventional reset options and the two innovations on dividend- paying stock are obtained by using methods of martingale and stochastic analysis.Finally,their values with constant coefl&cients are compared, the main results as follows:1. In the case of stochastic interest,the pricing formulas of the European contingent claim on dividend- paying stock are obtained (Theorem2.2,2.3,Corollary2.4,2.5,2.6) . (see Chapter 2)2. Under stochastic interest,the pricing formulas of the the conventional reset op-tions(Model 3.1,3.2)on dividend- paying stock are obtained(Theorem3.1,Gorollary3.2, 3.3,3.4,3.5) . (see Chapter 3)3. Two innovations of conventional reset options (Model 4.1,4.2,5.1) are provided, the pricing formulas of them on dividend- paying stock under stochastic interest are obtained (Theorem4.1,4.2,5.1,Corollary4.3, 4.4,5.2,5.3),and examps to compare the value of the three reset options with that of the general Eurpan options are provided, (see Chapter 4,5)4. As an application of singal reset options,taking account of the dividend,the pricing formula of bear market reset put warrants (Model 6.1)and that of its dual form (Model 6.2)are given(Theorem6.1, 6.3,Corollary6.2,6.4). (see Chapter 6)...