Motivated by the reset option with n predetermined dates analyzed by W.Cheng, we consider a kind of reset option with uncertain dates by introducing N pie-specifiedbarrier levels. We claim this reset option consists o...Motivated by the reset option with n predetermined dates analyzed by W.Cheng, we consider a kind of reset option with uncertain dates by introducing N pie-specifiedbarrier levels. We claim this reset option consists of some standard knock-in and knock-out barrieroptions. The closed-form pricing formula is derived by means of a PDE's approach.展开更多
基金This research is supported by the National Natural Science Foundation of China(No.10171078)
文摘Motivated by the reset option with n predetermined dates analyzed by W.Cheng, we consider a kind of reset option with uncertain dates by introducing N pie-specifiedbarrier levels. We claim this reset option consists of some standard knock-in and knock-out barrieroptions. The closed-form pricing formula is derived by means of a PDE's approach.
