• DocumentCode
    550108
  • 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
  • fYear
    2011
  • fDate
    22-24 July 2011
  • Firstpage
    5727
  • Lastpage
    5731
  • 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;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Control Conference (CCC), 2011 30th Chinese
  • Conference_Location
    Yantai
  • ISSN
    1934-1768
  • Print_ISBN
    978-1-4577-0677-6
  • Electronic_ISBN
    1934-1768
  • Type

    conf

  • Filename
    6000445
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=550108