Pricing Model Ladder Option

Many exotic options have been applied in the finance market. The ladder option is akind of exotic option, which has the exercise price and ladder price. As long as the underlyingassets price meets one ladder price, it will be locked to a certain level of profit.In this thesis, we discuss the ladder option in the Brown movement environment. Thethesis includes five chapters.In chapter one, we introduce the development of option pricing theories, the basic ofselected topic contents in this thesis and main contents of this thesis.In chapter two, we introduce the basic concepts of option pricing theory and the basicprinciples and methods applied in the thesis.In chapter three, assume that interest rate is stochastic, using risk neutral probabilitymeasure, base on distribution of the maximum and minimum value of Brown motion withdrift in a finite interval. We obtain the simple ladder option pricing formula in the cases ofstochastic interest rates.In chapter four, base on the third chapter, assume that interest rate is stochastic, usingrisk neutral probability measure, base on distribution of the maximum and minimum value ofBrown motion with drift in a finite interval and the joint distribution of the maximum andminimum value and final value of Brown motion with drift.we obtain the complex ladderoption pricing formula.In chapter five, we summarize the main results in this dissertation and point out someissues which need further improvement.