| 再装股票期权的Esscher变换定价 |
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| 引用本文： | 万建平,冯雅琴,冯文. 再装股票期权的Esscher变换定价[J]. 经济数学, 2007, 24(2): 139-146 |
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| 作者姓名： | 万建平 冯雅琴 冯文 |
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| 作者单位： | 华中科技大学数学系,武汉,430074;武汉工程大学环境与城市建设学院,武汉,430073 |
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| 基金项目： | 国家自然科学基金项目(No.10571065) |
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| 摘 要： | 近年来,公司为了吸引和激励股票的执行者而引入了一系列的非传统期权.本文将讨论其中的一种:再装期权,运用Esscher变换给出了再装期权(只装一次)的闭式解,并提供了数值计算的例子,为实践者提供了理论上的参考价格.
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| 关 键 词： | 再装期权 Gamma过程 Esscher变换 期权定价公式 |
| 修稿时间： | 2006-06-24 |
PRICING EUROPEAN DOWN-AND-OUT POWER CALLS BY ESSCHER TRANSFORMS |
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| Wan Jianping,Feng Yaqin,Feng Wen. PRICING EUROPEAN DOWN-AND-OUT POWER CALLS BY ESSCHER TRANSFORMS[J]. Mathematics in Economics, 2007, 24(2): 139-146 |
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| Authors: | Wan Jianping Feng Yaqin Feng Wen |
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| Abstract: | In recent years,as companies have sought to attract and retain executives in critical positions,a number of non-traditional executive stock options have been developed.In this paper,We executive one such non-traditional executive option,the reload option.We derive a closed-form formula for the reload option.We derive a closed-form formula for the reload option with a single reload time.Some numerical illustrations are presented also,so a reference price is provided in practice. |
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| Keywords: | Reload option Gamma process Esscher transforms option pricing |
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