Pricing Reset Options In A Stochastic Volatility Jump-diffusion Model

Option is the central tool of investment and risk management which has attracted more atten-tion by financial industry and academia.It's one of key contents for financial management.With the advancement and development of options and relevant theory,many exotic options are emerg-ing.In recent years,reset option is most active in financial market.So this paper researches mainly on reset option.Reset option is a exotic option whose investor can reset the exercise price.It makes investor to have more opportunities and profits than normal option.Reset option is divided into predeter-mined times and predetermined levels.This thesis mainly studies reset option with predetermined times.Reset option with predetermined times let investor to reset exercise price in sometimes.Reset option with predetermined times is based on the analysis of Black-Scholes model.However,Black-Scholes model inconsistent with the movement characteristics in the real financial market.The real financial market is instability,which is affected with uncertainty news and incident.In order to de-scribe option price,financial scholars improve Black-Scholes model.By assuming volatility,inter-est rate,stock price is stochastic and jumped,they establishes stochastic volatility jump-diffusion.The advantage of stochastic volatility jump-diffusion is that stochastic volatility,stochastic inter-est rate,stock follows Brownian Motion under discrete jump process and continual process.It's necessary to study reset option under stochastic volatility jump-diffusion.This paper studies reset options with stochastic volatility jump-diffusion model.We prove that stock price,interest rates,volatility follows an affine jump-diffusion model.In this paper,we use the random analysis method,such as Girsanov transform and inverse Fourier transform.In order to reduce investors to operate options,we give option pricing fairly.So we will be extended standard reset options on multi-asset geometric average reset options.By applying benchmarks,we analyze the effect of reset option.The result shows that jump strength of volatility ?v,jump strength of interest ?r,correlation coefficient of volatility ?J,correlation coefficient of interest ?r has positive impact on reset option with predetermined times.Reset option with predetermined times increase with correlation coef-ficient increase.The impact of correlation coefficient of volatility pj and correlation coefficient of interest ?r are smooth.But the impact of jump strength of volatility ?v and jump strength of interest ?r is slow and tnen rapid.So investor must care smooth and turbulence in transaction.