Title :
Pricing reset option in a fractional brownian motion market
Author :
Deng Guohe ; Xi Huan
Author_Institution :
Sch. of Math., Guangxi Normal Univ., Guilin, China
Abstract :
The pricing formula of reset option with n pre-specified reset dates when the underlying asset follows a geometric fractional Brownian motion, with Hurst parameter H ∈ (0, 1), is considered. The close-form pricing formula of the reset option with a single reset date is derived for expositional simplification. Furthermore, we apply this result to explore the phenomena of Delta jump across reset dates.
Keywords :
Brownian motion; financial management; pricing; Delta jump; Hurst parameter; expositional simplification; fractional Brownian motion market; geometric fractional Brownian motion; pre-specified reset dates; pricing reset option; Brownian motion; Compounds; Cost accounting; Europe; Pricing; Stochastic processes; Delta jump; Fractional Brownian motion; Reset option;
Conference_Titel :
Control Conference (CCC), 2011 30th Chinese
Conference_Location :
Yantai
Print_ISBN :
978-1-4577-0677-6
Electronic_ISBN :
1934-1768
