经济数学
經濟數學
경제수학
MATHEMATICS IN ECONOMICS
2010年
1期
16-20
,共5页
Esscher变换%Lévy过程%期权定价%等价鞅测度
Esscher變換%Lévy過程%期權定價%等價鞅測度
Esscher변환%Lévy과정%기권정개%등개앙측도
Esscher transform%Levy processes%option pricing%equivalent martingale measure
通过把Lévy过程分解为两个独立过程之和,将Esscher变换由单参数推广到双参数,并给出了双参数Esscher变换测度为等价鞅测度的充要条件.
通過把Lévy過程分解為兩箇獨立過程之和,將Esscher變換由單參數推廣到雙參數,併給齣瞭雙參數Esscher變換測度為等價鞅測度的充要條件.
통과파Lévy과정분해위량개독립과정지화,장Esscher변환유단삼수추엄도쌍삼수,병급출료쌍삼수Esscher변환측도위등개앙측도적충요조건.
This paper extended Esscher transform to two-parameters by decomposing Levy processes as the sum of two independent processes, and gave a necessary and sufficient condition for two-parameters Esscher transform measures to be equivalent martingale measures.
