基于多个资产几何平均值的重置期权的定价

The pricing of the reset option based on the geometric average of multiple assets

标准的重置期权都是针对单一资产而设定的,这样的重置期权容易被操控.为了避免这种情况,对标准重置期权进行改良,定义了一种基于多个资产几何平均值的新型重置期权.在风险中性测度下,利用等价鞅测度变换和Girsanov定理得到了带常数股息的股票上的此种新型重置期权精确的定价公式,推广了以前已有的结果.

The standard reset option is about one asset,it can be controlled easily.Now we define a new reset option,which is based on the geometric average of multiple assets.By Girsanov theorem and the theory of equivalent martingale,we give the exact pricing formulas of this new option on the assets with constant dividend yield under the risk neutral measure,thus we extend the result before.