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

<div>Comparison of option <svg height="8.68572pt" id="M235" style="vertical-align:-0.0498209pt" version="1.1" viewbox="-0.0498162 -8.6359 8.46388 8.68572" width="8.46388pt" 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="M600 0V24L339 665L311 657L43 24V0H600ZM497 50H107L303 539L497 50Z" id="g113-133"></path></g></svg> and <svg height="8.68572pt" id="M236" style="vertical-align:-0.0498209pt" version="1.1" viewbox="-0.0498162 -8.6359 6.71534 8.68572" width="6.71534pt" 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="M485 501C480 550 475 615 475 650H42V622C119 616 127 606 127 525V126C127 44 119 34 41 28V0H311V28C220 34 212 43 212 126V584C212 612 216 615 244 615H318C382 615 404 608 420 587C435 568 445 541 455 497L485 501Z" id="g113-132"></path></g></svg> between the general-reset option and outside-reset option.</div>

Complexity

fig4

Figure 4

Figure 4: Valuation on an Outside-Reset Option with Multiple Resettable Levels and Dates 