The geometric average trigger reset option resets the strike price based on the geometric average of the underlying asset's prices over a monitoring window. Similar contracts have been traded on exchanges in Asia. This paper derives an analytic formula for pricing this option with multiple...

Pricing options on a stock that pays discrete dividends has not been satisfactorily settled in the literature. Frishling (2002) shows that there are three different models to model stock price with discrete dividends, but only one of these models is close to reality and generates consistent...