具有随机利率的跳分散模型中的重置期权定价.pdfVIP

[12](2007) [11](2004) [12](2007) [11] [12]  Æ Vasicek   Vasicek  Girsanov i  PRICING THE RESET OPTIONS IN JUMP-DIFFUSION MODELS WITH STOCHASTIC INTEREST RATES ABSTRACT This paper extends the results of the paper[12](2007). We mainly study the pricing of reset options in jump-diffusion models with stochastic interest rates. The paper[11](2004) firstly obtained the pricing formulae of European options in the jump-diffuson models. Then, the paper[12] derived reset call options with predetermined dates in diffusion models. This paper extends the results of [11] and [12]. Firstly, we simplify some difficulties in option pricing theory by choosing different num´eraire and corresponding probabil- ity measure. When the underlying asset has a single jump, we discuss the pricing of reset call options in the situations of deterministic interest rate and stochastic interest rate, respectively. In addition, this paper extends the result to that in the jump-diffusion model, in which we suppose the relative change of underlying asset price is piecewise constant. Another analytical pricing formula for the reset option is also obtained when the interest rate follows an extended vasicek’s model. KEY WORDS: reset options, num´eraire, change of probability mea- sure, stochastic interests, jump-diffusion models, Girsanov’s thror