A strike reset option is an option that allows its holder to reset the strike price to the prevailing underlying asset price at a moment chosen by the holder. The pricing model of the option can be formulated as a par...A strike reset option is an option that allows its holder to reset the strike price to the prevailing underlying asset price at a moment chosen by the holder. The pricing model of the option can be formulated as a parabolic variational inequality and the optimal reset strategy is the free boundary. The smoothness of the free boundary in some cases was showed in our article published in JDE. We would prove its smoothness in the other case in this paper by a generalized comparison principle for the variational inequality.展开更多
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
在标的资产价格遵循跳跃扩散过程条件下,怎样定价重设型卖权是十分重要的.本文的目标就是计算出跳跃扩散重设型卖权的定价公式。按照Merton的思想,利用几何Brown运动描述只有系统风险的资产价格运动,用 Poisson随机过程描述产生非系统...在标的资产价格遵循跳跃扩散过程条件下,怎样定价重设型卖权是十分重要的.本文的目标就是计算出跳跃扩散重设型卖权的定价公式。按照Merton的思想,利用几何Brown运动描述只有系统风险的资产价格运动,用 Poisson随机过程描述产生非系统风险的偶然的资产价格的跳跃,并且假设跳跃幅度服从正态分布.通过求解 Ito skorohod随机方程,对冲系统风险运用风险中性定价方法,进而用一维与二维的正态分布函数计算各个部分的条件期望,得到无穷级数形式的跳跃扩散重设型卖权的定价公式.展开更多
基金supported by National Natural Science Foundation of China(10901060,10971073,1081056)Natural Science Foundation of Guangdong Province (9451063101002091)
文摘A strike reset option is an option that allows its holder to reset the strike price to the prevailing underlying asset price at a moment chosen by the holder. The pricing model of the option can be formulated as a parabolic variational inequality and the optimal reset strategy is the free boundary. The smoothness of the free boundary in some cases was showed in our article published in JDE. We would prove its smoothness in the other case in this paper by a generalized comparison principle for the variational inequality.
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.
文摘在标的资产价格遵循跳跃扩散过程条件下,怎样定价重设型卖权是十分重要的.本文的目标就是计算出跳跃扩散重设型卖权的定价公式。按照Merton的思想,利用几何Brown运动描述只有系统风险的资产价格运动,用 Poisson随机过程描述产生非系统风险的偶然的资产价格的跳跃,并且假设跳跃幅度服从正态分布.通过求解 Ito skorohod随机方程,对冲系统风险运用风险中性定价方法,进而用一维与二维的正态分布函数计算各个部分的条件期望,得到无穷级数形式的跳跃扩散重设型卖权的定价公式.
