Valuation on an Outside-Reset Option with Multiple Resettable Levels and Dates

<div>Option values as a function of <span class="nowrap"><svg height="11.927pt" id="M142" style="vertical-align:-3.291101pt" version="1.1" viewbox="-0.0498162 -8.6359 12.1837 11.927" width="12.1837pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M640 650H413L406 622L438 617C475 611 483 605 463 571C422 503 346 400 296 333C264 403 215 529 199 575C189 604 191 614 228 618L262 622L271 650H30L23 622C90 615 97 609 119 553L212 321C222 295 223 285 218 259L193 127C176 39 167 33 82 28L76 0H350L356 28C266 36 257 40 275 127L303 266C308 290 314 302 328 322C396 418 454 493 498 546C551 610 565 616 631 622L640 650Z" id="g113-90"></path></g><g transform="matrix(.0091,0,0,-0.0091,7.111,3.132)"><path d="M245 635C92 635 37 457 37 312C37 149 91 -12 244 -12C395 -12 449 166 449 312C449 469 395 635 245 635ZM243 598C332 598 358 454 358 312C358 173 334 26 245 26C158 26 128 174 128 313S152 598 243 598Z" id="g50-49"></path></g></svg>.</span></div>

Complexity

fig1

Figure 1

Figure 1: Valuation on an Outside-Reset Option with Multiple Resettable Levels and Dates 