Pricing Reset Option in a Fractional Brownian Motion Market

摘要

The pricing formula of reset option with n pre-specified reset dates when the underlying asset follows a geometric fractional Brownian motion, with Hurst parameter H ∈ (0, 1), is considered. The close-form pricing formula of the reset option with a single reset date is derived for expositional simplification. Furthermore, we apply this result to explore the phenomena of Delta jump across reset dates.