Actuarial Approach reset option pricing
|School||Shandong University of Science and Technology|
|Keywords||Actuarial Pricing Reset options Pay dividends Fractional Brownian motion Index O-U process|
Mogens Bladt and Tina Hviid Rydberg in 1998 proposed the use of actuarial methods of option pricing , a prerequisite for this method does not involve any economic assumptions , breaking the traditional option pricing method is only applicable to no-arbitrage , balanced and complete market assumptions the conditions, the traditional option pricing methods to expand . Study how to use actuarial methods for various types of option pricing is currently a hot issue of the reset option as a path-dependent options, is a new option in common , since the prices of assets under native reset strike price ( can also be repeated once ) , thus reset option than comparable conventional cheaper option , you can also enable the holder to have more opportunities for profit , so the currency and commodity markets more popular . Reset option in view of the wide application in real life , we study how to use actuarial methods to price reset option , the following results : 1. The actuarial method to promote, to get the stock price follows the right fractional Brownian Movement pricing formula ; 2 in stock price follows Brownian motion, dividends payable for why he did not pay dividends and has a reset option power payoff research , gives the corresponding actuarial method of pricing formulas ; 3 is closer to reality financial markets, and on the index reset option under OU process has been studied , such a model is given under the pricing formula .