Poisson Jump Model Of Stock's Reset Option $ricing

Nowadays as fast economic development, financial market more and more derivative products, options, hedging is an important tool, in order to meet customer demands for more, resulting in a reset option. Reset option pricing has become a core topic of academic researchers. In option pricing studies, Black Scholes option pricing research to create a precedent for the later's study provides a reliable basis. But Black Scholes model takes into account the stock market is completely balanced and without sets benefit. But in the real market is not this ideal state.This article will jump in the stock subject to poisson model to study the reset option pricing problem, the use of the stochastic integral in the martingale method to calculate the jump in the stock subject to poisson models have a reset option to reset the date of the price of the exact pricing. And then reset the date of the launch of two options to reset the price of the exact pricing, and finally extended to a a reset date of the option pricing formula is derived. Finally, the empirical analysis confirmed the reality of the stock price more in line with poisson jump models, stochastic integral in the calamity method can accurately calculate the reset option pricing.