| Option is financial derivates product,which occurs 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 investor.By means of mathematical tools such as stochastic process,martingale theory and stochastic analysis,this paper shall mainly study many reset option pricing problems in financial economy ,attempts to extend and innovate some of conclusions ,and tries 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 two-points reset option are discussed in six chapters.Chapter one introuduces the origin,development,academic trend and meanings in economics of option pricing theory,At the same time summarizes principal work of this paper.Chapter two introduces some basic knowledge about option pricing: basic concepts and theories about stochastic process theory such as martingale,Brown motion and Ito? stochastic integral and differential, Ito? formula and Girsanov theorem and so on. Chapter three studies basic knowledge about reset option,including types,structures and features of reset option.Chapter four firstly introduces risk-neutral pricing theory,and On the basis of single-point reset option,designs a two-points reset option,at the same time under condition that the price of stock follows geometric Brown motion in risk-neutral condition: dS ( t ) = S ( t )[( r ( t ) ? q ( t )) dt +σ( t ) dWtQ],and the interest rate of the riskless asset,the volatility rate and the dividend rate of stock are non-random functions of time,the pricing formula of two-points reset option is obtained by using Martingale and stochastic analysis knowledge。Following the thought of Merton,chapter five depicts the asset price motion with Ito? -skorohod ( dS (t ) = S (t ? )[μdt +σdW (t ) + ( J ? 1) dq (t ));that is,depicts the asset price... |
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