The Pricing Of Reset Option With Power Payoff

With the foundation of option pricing theory, financial derivatives have gotdeveloped rapidly. A variety of new options come into being, reset option is one ofthem. Reset option is a contract that whose strike price will be reset in accordancewith the contract, when original asset price reaches a certain pre-given level, so thatthe holder will have more opportunities to benefit from them.In order to adapt to di?erent requirements of the investors, in this thesis wediscuss the pricing of reset option with power payo? at the time of maturity. Thethesis is divided into four chapters:Chapter one, option pricing theory and its development, and the backgroundof reset option and the previous results.Chapter two, some related concepts and theorems in this thesis.Chapter three, we mainly discuss the pricing of reset option with power payo?when bond price B(t) is the function of t. And we also consider the pricing of resetoption with power payo? when stock price is driven by Ornstein-Uhlenbeck process.Chapter four, we mainly discuss the pricing of reset option with power payo?when bond price B(t) follows stochastic process.