Dissertation
Dissertation > Economic > Fiscal, monetary > Insurance > Insurance Theory

Actuarial Approach reset option pricing

Author JiangLiLi
Tutor LiangXiangQian
School Shandong University of Science and Technology
Course Applied Mathematics
Keywords Actuarial Pricing Reset options Pay dividends Fractional Brownian motion Index O-U process
CLC F224;F840
Type Master's thesis
Year 2010
Downloads 65
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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 .

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