本篇論文使用單因子Hull-White模型評價具有重設條款之債劵選擇權，此選擇權應用之重設條款共有三種，第一種的條款為單點重設，此條款規定此債劵選擇權於存續期間可重設一次履約價格。而第二種則為第一種條款的一般化情況，選擇權於存續期間可重設 次履約價。第三種為最一般化的情形，不但可以於存續期間比較 次時點的股價而且可以重設 次履約價。不僅如此，本篇研究也運用風險中立的概念獲得幾何平均亞式重置債劵選擇權的封閉解，再利用此公式得到算術平均亞式重置債劵選擇權的近似封閉解。由數值分析的結果我們可了解此近似封閉解不但十分準確，且運算速度十分快速，因此易於實務界人士從事避險的工作。最後，本篇文章是近來從事重設型商品研究中範圍十分深入的一篇研究，相信對於未來評價重設型相關商品之文獻必有所貢獻。

This study proposes a pricing formula to price bond options with an adjustable strike price at one predetermined reset date, multiple predetermined reset dates, even m reset levels with continuous reset dates by setting the forward rate as a numeraire. Moreover, this investigation applies the martingale technique to examine the pricing formula for a reset feature embedded in the continuous geometric average of Asian derivatives, and further uses this formula to approximate an analytic solution for continuous arithmetic average of Asian derivatives. The numerical results show that our approximate analytic solution is faster than the traditional approach, which is quite important for hedging in the real world, and has acceptable accuracy. Finally, the algorithm hedge parameter formulas are also presented in our study.

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