Pricing Arithmetic Average Reset Options With Control Variates.

Using the closed-form solutions of partial barrier options, we derive the prices of general reset options with in reset levels and continuous reset dates, as well as provide some special characteristics of reset put and call options. We explore the phenomenon of a delta jump for reset put and call options whenever the stock price touches the barriers. In a practical application, we use reset call options with continuous reset dates as control variates to evaluate the prices of six arithmetic average reset options listed on the Taiwan Stock Exchange in 1998-1999. [ABSTRACT FROM AUTHOR]