Pricing of Reset Put Options with Multiple Strike Resets

摘要

Based on the reset option models with multiple strike resets provided by Cheng,Zhang and Liao,Wang,a new reset put option model is put forward.In this model,the reset strike price fluctuates as the stock price changes with the chance of reset price diminishing.Then,the pricing formula of multiple-point strike reset put options is obtained according to the martingale theory.