Title: THE PRICING OF THE INNOVATIVE RESET OPTIONS WITH POWER PAYOFF WHEN BONE PRICE FOLLOWS A STOCHASTIC DIFFERENTIAL EQUATION DRIVEN BY BROWN MOVEMENT
Abstract: In the complete and no-arbitrage markets,the pricing formula of the innovative reset options on dividend-paying stock with power payoff at the time of maturity was obtained by using methods of martingale and stochastic analysis when bound price B(t)follows a stochastic differential equation driven by Brown movement.
Publication Year: 2009
Publication Date: 2009-01-01
Language: en
Type: article
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