Research On Several Resetting Options Pricing Models

In recent years,with the globalization of the financial market,the competition among financial institutions becomes more and more intense.In order to cope with the increasingly fierce financial war,a variety of financial derivatives have come into being.As an important part of financial derivatives,option has the function of value discovery and risk aversion,so its importance is obvious.Reset option is a new-type option which adds reset clause to the standard option contract,it not only has a high degree of flexibility to meet the changing financial market needs,but also can help market participants obtain more investment income because of the addition of reset clause.Considering the important market value of reset options,this paper does some research on reset options.This paper is divided into four chapters.The first and second chapter is the introduction and preparation knowledge,which include the main content,structure arrangement and the basic knowledge involved.The third chapter is about stock with Poisson jump process dual-currency European options,European single point reset options,the improvement of European single point reset options,and stock without jumping dual-currency European multiple reset options under the environment of floating exchange rate.Finally,this paper does some research about European option,European single point reset options that have single source and multiple source of the jumping under the random environment that the interest rate obeys the o-u process.Meanwhile,this paper introduces several new-type reset options and makes a study of single point and multi-point reset option on the basis of more assets and more skip source that is geometric average and European-style.Furthermore,there are many methods include several important probability formula,the equivalent martingale measure,transformation of multiple variable substitution and so on are used to simplify abundant calculation.