The Pricing Of Reset Option Under Stochastic Interest Rate In A Fractional Brown Motion Environment

The reset option is a path-dependent financial derivatives, since been proposed, its pricing theory and application has rapid development meanwhile recived a series of significant research. Along with the development of financial markets and break himself, reset option greatly enriched the financial markets. Therefore, how to pricing the option more effectively consider to be the dedicated workers need to work for.In this paper, the no-arbitrage pricing theory and the theory of fractional risk neutral pricing and other mathematical tools been used to study the European call option and reset option pricing. In obedience extended Vasicek stochastic interest rate model or fractional interest rates Vasicek model and the underlying asset follows scores jump-diffusion process model deduced at a single point of time prescribed level reset option pricing formula.The chapter 3 is given subject to extended Vasicek interest rates model, the un-derlying asset follows fractional jump-diffusion model deduced reset option pricing formula.The chapter 4 is given interest rates obey fractional Vasicek model, the underlying asset follows fractional jump-diffusion model deduced reset option pricing formula.The chapter 5 summarizes the main work in this paper and give something which we still need to be solved.