| 欧式重设卖权的Esscher变换定价 |
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| 引用本文： | 邓英东,肖庆宪.欧式重设卖权的Esscher变换定价[J].大学数学,2012(1):124-127. |
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| 作者姓名： | 邓英东 肖庆宪 |
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| 作者单位： | 上海理工大学管理学院;南通大学理学院 |
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| 基金项目： | 上海市哲学社会科学规划项目(2009BJB001) |
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| 摘 要： | 介绍了Esscher变换的方法,对标的资产价格遵循B-S模型的条件下,给出了有支付红利和不支付红利的欧式重设型卖权的定价公式.并说明在适当的条件下,著名的B-S模型下的欧式卖权公式将是本文的特例.
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| 关 键 词： | Esscher变换 B-S模型 重设型卖权 |
The European Pricing of Reset Put Option by Esscher Transform |
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| DENG Ying-dong,XIAO Qing-xian.The European Pricing of Reset Put Option by Esscher Transform[J].College Mathematics,2012(1):124-127. |
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| Authors: | DENG Ying-dong XIAO Qing-xian |
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| Institution: | 1(1.University of Shanghai for Science and Technology,Management School,Shanghai 200093,China; 2.School of Nantong University,Nantong 226007,China) |
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| Abstract: | This paper introduces the method of esscher transform.When the underlying asset price follows the B-S model,the Europear pricing of reset put option with dividend-paying and non-dividen-paying are given by Esscher transform..under certain condition,the European put option of well-known B-S model is a special case in this paper. |
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| Keywords: | Esscher transform B-S model reset put option |
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