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Level Reset Option Pricing Model Under the Geometric Average

초록

영어

Integrate the features of the geometric average in Asian option into level reset option, thus closed-form solution of geometric level reset options obtained through measure transformation and martingale pricing method. Numerical analysis results show that the geometric level reset call prices are increased with the increase of the number of level reset price, the risk hedge Δ value and the standard European call option are much closed, but there is no Δ jump phenomena of standard reset options.

목차

Abstract
 1. Introduction
 2. Geometric Level Reset Option Model
 3. Risk Hedging
 4. Numerical Result and Analysis
 5. Conclusion
 References

저자정보

  • Yu MingRen Shandong University, WeiHai, Weihai ShanDong 264209

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