欧式重设卖权的Esscher变换定价
구식중설매권적Esscher변환정개
The European Pricing of Reset Put Option by Esscher Transform
  • 万方数据
    大学数学 대학수학
    COLLEGE MATHEMATICS
    2012年 1期 124-127 ,共4页

    邓英东%肖庆宪

    산영동%초경헌

    Esscher变换%B-S模型%重设型卖权 Esscher變換%B-S模型%重設型賣權
    Esscher변환%B-S모형%중설형매권
    Esscher transform%B-S model%reset put option
    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.
    개소료Esscher변환적방법,대표적자산개격준순B-S모형적조건하,급출료유지부홍리화불지부홍리적구식중설형매권적정개공식.병설명재괄당적조건하,저명적B-S모형하적구식매권공식장시본문적특례.
    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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