Pricing Of Reset Options With Multiple Strike Resets And Reset Dates Under Stochastic Interest Rates

Options are one of the most basic of financial derivatives,that can be used for riskmanagement.because the needs of the financial markets and diferent investors continueto increase, many kinds of options have appeared,such as reset option. The reset option isa path-dependent option has a higher value than the standard options. The reset optionwith multiple strike resets and reset dates on the basis of a single point of reset price, itsultimate value will be higher. The interest rate is the basic factor of the impact of changesin financial markets. A great deal of research on option pricing is based on the interest rateis constant or deterministic function of time.However, interest rates in financial marketsexist the actual random situation, so The study should take into account the impact ofinterest rate option pricing.This paper is essential to study the pricing formulas of reset options with multiplestrike resets and reset dates when the interest rate is stochastic with the assumption ofcomplete market.And the formulas obtained by means of mathematical tools such as mar-tingale theory and stochastic analysis.First,pricing formulas of reset options with multiplestrike resets and reset dates on a stock whose price process is driven by exponential O-Uprocess when the interest rates follows an extend vasicek's model is obtained.Then,underthe frame of HJM models which the term structure of forward rates by two independentBrownian Motion,the pricing formulas of reset bond options with multiple strike resetsand reset dates and the pricing formulas of reset future options with multiple strike resetsand reset dates are derived.This paper divided into three chapters:The first chapter is the introduction, provides the background, the introduction ofreset option,Prior knowledge and the framework.The second chapter discusses the pricing of reset options with m strike resets and npre-decided dates is driven by exponential O-U process,then,an analytical pricing formulaof reset options with m strike resets and n pre-decided dates is obtained when the interestrates follows an extend vasicek's model.The third chapter discusses the pricing formulas for the European bond option underthe frame of HJM models which the term structure of forward rates by two independentBrownian Motion,an analytical pricing formulas of reset bond options with m strike resetsand n pre-decided dates and reset future options with m strike resets and n pre-decideddates are derived.