摘要
Abstract
This paper designed one kind of resettable strike price options with Asian style,and proved strictly the exist-ence of resetting boundary and the simple connectedness of continuation region and resetting region.Making use of Hartman-Watson distribution,the pricing formula of resettable strike price options was written out,and a new numerical algorithm for resetting boundary utilizing this formula was given.关键词
市场流动性/亚式可重置期权/重置执行边界/重置执行红利/新型递归积分法Key words
market liquidity/Asian resettable options/resetting boundary/resetting premium/new recursive integral method分类
管理科学
