The Upper Limit Reset Option Pricing Analysis

Option is an instrument of financial derivatives, which arose from USA in the middle of seventies. In the past two decades, it has developed rapidly as an effective means for speculating and against risks. A lot of financial firms have been introducing some new options to attract investors.By means of mathematical tools such as stochastic process, martingale theory and stochastic analysis, this paper mainly studied many pricing problems of reset options in financial economy, attempted to extend and innovate some of conclusions, and tried to obtain some better conclusions or the results which are easy to operate and instructive to financial practice. All the contents of my research on the pricing of reset option are discussed in five chapters.In chapter 1, the emergence and development of options, pricing methods of reset options, and some notations of the paper were introduced.In chapter 2, the Black-Scholes model of vanilla options was introduced.In section 1 of chapter 3, the definition and classification of standard reset options were introduced. In section two, the pricing of single-point-time options were discussed and respective formulae of the call options and its put counterpart were presented by using martingale option pricing. In section 3, the pricing of single-point-level options were discussed and respective formulae of the call options and its put counterpart were presented by using the distribution of maximum and minimum asset price.In section 1 of chapter 4, the definition and classification of capped reset options were introduced. In section two, the definition and pricing of capped single-point-time options were discussed and respective formulae of the call options and its put counterpart were presented by using martingale option pricing. In section three, the definition and pricing of capped single-point-level options were discussed and respective formulae of the call options and its put counterpart were presented. In section four, capped reset options were extended to some degree.In section 5, all study mentioned was concluded and further study directions were put forward.