本研究以格林函數法來探討算數平均重設選擇權之評價。在Black-Scholes架構假設下，算數 平均重設選擇權之積分表現式為一系列Black-Scholes偏微分方程式之初始值問題，屬於路徑相依 型之選擇權評價，透過數值積分可獲得精確解。本研究方法亦可適用於幾何平均型之重設選擇權評 價，最後並以數值例進一步探討比較其中差異。

This study investigates the pricing of the arithmetic average reset option. The option price is formulated as the solution of the Black-Scholes equation. In addition, the valuation is derived from a series of initial value problems based on the Green function through integration. Finally, the reset option price is numerically calculated. Throughout the numerical method, we can derive reset option prices of both arithmetic average and geometric average reset options. This study also presents the numerical examples for comparison.