Research For The Pricing Of Reload Option

Options is a financial derivates product,which occurred from USA in the middleof 1970s Since then,the study of options pricing theory and its application have devel—oped rapidly and reaped rich achievements. In order to satisfy more investors'demand,many financial companies have introduced various new options. How to price these newoptions is one of most important problems urgently needing to be solved by financialand mathematics people.This paper mainly discusses the pricing of compound option in finance,using mathe—matical tools such as stochastic process and stochastic analysis. In the condition that thestochastic rate obeys two different kinds of stochastic process and the stock price followsGeometric Brownian Motion or obeys jmnp—diffusion model,we deduce four compoundoption pricing fornmlas by using option pricing methods such as measure transfornmtionand martingale methodIn chapter two,we discuss the pricing of compound option at any time beforethe expiration and deduce the pricing fornmlas,underlying the assmnptions that thestochastic rate is Vasicek rate and the stock price~llows Geometric Brownian MotionIn chapter three,we price the compound option under the condition of Vasicekrate with a jmnp—diffusion model and deduce its value％rmula at any time before theexpirationIn chapter four,first we can find the Risk—Neutral Measure Q and change themeasure basing that the discount of Wealth Process is a martingale. Then we discuss thepricing formula of cornpound option underlying the assumptions that both of stochasticrate and stock price~llow Geometric Brownian MotionIn chapter five,we deduce the pricing formulas of compound option,underlying theassumptions that the stochastic rate follows the Geometric Brownian Motion but stockprice obeys jump—diffusion modelIn chapter six,we sunlmarize the main results of this article and gave some problemsthat need flarther effort...