Study Of The Reset Options Pricing Problems

In resent years, many mathematical scientists and financial economists pay more and more attention to the problems on options and investment consumption. Effective management of risk occupies the right evaluation of derivative securities, the critical thing that the financial derivative securities exist reasonably and develop properly is how to value its fair price. Among all the pricing systems, the investigation of option pricing is most extensive, Early in 1973, Fischer Black and Myron Scholes proposed a famous option pricing model-Black-Scholes model[1]. Later, option pricing theory has developed quickly. Recently,in addition to known European options and American options, there appear many new varieties which are evolved from vanilla options in international financial market. Reset option is one of these new options. Reset options have more chance of gains than other standard European options, so their fair pricing are welcome to market practitioner. They are widely applied in risk management. This paper focuses on the study of reset options pricing, and it is composed of the following six chapters:In chapter 1, the emergence and development of options and reset options pricing theory, and notations of this paper are introduced.In chapter 2, the pricing problems of vanilla European options are introduced(Black-Scholes pricing model).In chapter 3, In section one, the definition and classification of standard reset options are introduced. In section two, this thesis discusses reset options pricing of single-point-time resetting strike price and gives single-point-time reset call options and put options pricing formulas and call-put parity by using martingale pricing methods. In section three, this thesis discusses reset options pricing of single-point-level resetting strike price and gives single-point-level reset call options and put options pricing formulas by using distribution of maximum and minimum asset price.In chapter 4, one innovations of the single-point reset options are provided by considering look back options " buying at lowest price and selling at highest price" . By using distribution of maximum and minimum asset price, the pricing formulas of this more complicated reset options...