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

Table 2

Values of the outside reset option with two strike resets and three reset dates.

1	2	3	1	2	3
0.1	85		1.1504	1.2708	4.0516	1.4954	3.8198	4.6219
			0.8540	0.8784	2.6921	1.1705	1.3878	3.2213
			0.6836	0.6955	1.6860	0.9731	1.2277	2.1376
	100		8.2040	8.6264	13.5817	9.4960	9.8386	14.8388
			7.6975	8.0957	11.7032	9.0367	9.3292	13.0265
			7.2358	7.6122	9.9175	8.6111	8.7650	11.2795
0.3	85		6.9973	7.7872	9.5545	7.5911	8.4549	10.1876
			6.7721	7.2209	8.5729	7.3647	7.8165	9.2021
			6.5847	6.8278	7.7387	7.1747	7.4199	8.3578
	100		15.1534	17.9018	18.9530	16.1234	18.7775	19.9037
			14.8161	15.9776	17.5850	15.7915	18.0760	18.5562
			14.5166	15.6236	16.3492	15.4948	15.6759	17.3312

The parameters are , , , , , and .