Valuation Of Reset Option With Fuzzy Numbers

The Reset options is a new type of option. Due to the reset options more benefit than European option, so it is populared with investors, It is an instrument for the general investors to risk aversion. To reset option pricing research also has a great value and practical significance.This paper mainly studies the single point time reset and the single point level reset European call option pricing method of fuzzy Numbers. First of all, using the risk neutral pricing theory, study the single point time reset option’s pricing problem of fuzzy Numbers under the stock price follows geometric Brownian motion. And then research the single point level reset option pricing problem of the fuzzy Numbers. Specific work is as follows:(1) Apply the fuzzy number pricing method to the single point time reset European option pricing, solves the single point time reset European option pricing formula, and through the numerical experiment validates the single point time reset call option’s value is lower than the standard single point time reset call option’s value.(2) Apply the fuzzy number pricing method to the single point level reset European option pricing, solves the single point level reset European option pricing formula, and through the numerical experiment validates the single point level reset call option’s value is lower than the standard single point level reset call option’s value.