Pricing The Reset Options In The Wishart Model

The risk management and hedging of financial market derivatives has become an essential part of the research of many financial investors.As an important part of financial derivatives,option pricing has been the focus of the financial institutions and investors,which is the most frequent in the financial market and the most extensive contact.The most centralized new exotic options,how to make reasonable pricing to meet the interests of the majority of investors,has become an urgent problem to be solved by many domestic and foreign financial institutions and economic researchers.Therefore,it is very important and urgent to study resetting options.At present,the research on reset options is mostly based on Black-Scholes model,jump diffusion model,Vasicek model and so on,and most of the volatility is constant and one dimensional.In the fast changing financial market,the traditional model can not adapt to the development of the time generation.In order to better explain the ”smile” phenomenon of the real market volatility,this paper introduces Wishart In the process,the stochastic volatility model of the Wishart process is studied.For the stochastic volatility model of the Wishart process,if the model only considers the random volatility is a constant,that is,n = 0,the model becomes a classical Black-Scholes model;if only one dimensional case is considered,In the case of n = 1,the model becomes a Heston stochastic volatility model,and the Wishart model is actually a high dimension extension of the Heston stochastic volatility model.Therefore,it is reasonable to study the reset option under the model,and it has a very wide range of research value and significance.The reset options are divided into two categories: one is the time point reset option and the two is the horizontal reset option.In this paper,the Feynman-Kac theorem,the Ito?formula,the joint eigenfunction of the multidimensional random variables,the Fourier inverse transformation and other random analysis methods are used to consider the time point reset option,and the pricing formula of the time point reset option of the single asset standard is obtained.The pricing theory and method of the rich reset option are given.In order to provide a more powerful theoretical basis,this paper gives the pricing formula of the warrant option for the selling right of the single asset European resetting bear market,and extends the application of the single asset standard time point reset option to the multiple asset single point extreme reset option.The pricing formula and the deduction process of the multi asset European minimum value and the maximum value reset call option are given.Finally,the numerical analysis is used to analyze the W.The influence of volatility parameters on option price under ishart process,such as constant volatility,stochastic volatility and so on,and the influence of relevant parameters in the model on option price is also discussed.