×

On pricing model of the reset option with \(N\) predetermined levels. (English) Zbl 1094.91027

Summary: Motivated by the reset option with \(n\) predetermined dates analyzed by S. Zhang and W.-Y. Cheng [J. Derivatives 2000, Fall, 59–71(2000)], we consider a kind of reset option with uncertain dates by introducing \(N\) pre-specified barrier levels. We claim this reset option consists of some standard knock-in and knock-out barrier options. The closed-form pricing formula is derived by means of a PDE approach.

MSC:

91B28 Finance etc. (MSC2000)