Title :
Pricing the innovative reset options with power payoff
Author_Institution :
Coll. of Math. & Comput. Sci., Hunan Normal Univ., Changsha, China
Abstract :
In order to adapt to different requirements of the investors, an innovative reset options with power payoff at the time of maturity is devised. Furthermore, it´s pricing formula is obtained by using methods of martingale and stochastic analysis when bond price is a specified function of time, where markets is complete and no-arbitrage; there are no transaction costs; both bond and stock are freely and instantaneously tradable either long or short at the price quoted.
Keywords :
pricing; share prices; stochastic processes; bond price; innovative reset option pricing; martingale method; power payoff; stochastic analysis; Discrete wavelet transforms; innovative; martingale; pricing; reset options;
Conference_Titel :
Computer Application and System Modeling (ICCASM), 2010 International Conference on
Conference_Location :
Taiyuan
Print_ISBN :
978-1-4244-7235-2
Electronic_ISBN :
978-1-4244-7237-6
DOI :
10.1109/ICCASM.2010.5620587
