欧式看跌期权的Esscher变换定价法

于娜; 徐东彦

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上海电力大学学报:2008,24(2):199-202

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欧式看跌期权的Esscher变换定价法

于娜, 徐东彦

(上海电力学院数理系, 上海 200090)

European Put Options Pricing by Esscher Transform

YU Na, XU Dong-yan

(Dept. of Mathematics and Physics, Shanghai University of Electric Power, Shanghai 200090, China)

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投稿时间：2007-11-13

中文摘要: 以欧式看跌期权为例,假设复利率为具有独立平稳增量性质的随机过程,用Esscher变换法,推出了股票的欧式看跌期权的定价公式,并算出了不同执行价格与不同执行期限的期权价格.

中文关键词: 期权期权定价 Esscher变换

Abstract:Under the assumption that compounded rate is governed by the stochastic processes with stationary and independent increments, European put options pricing is taken as an example to derivate the common formula of European put option pricing by Esscher transforms. Moreover the value of European put option is calculated from various exercise price and the time to maturity.

keywords: option option pricing Esscher transform

文章编号：20080226 中图分类号： 文献标志码：

基金项目:

作者	单位
于娜	上海电力学院数理系, 上海 200090
徐东彦	上海电力学院数理系, 上海 200090

Author Name	Affiliation
YU Na	Dept. of Mathematics and Physics, Shanghai University of Electric Power, Shanghai 200090, China
XU Dong-yan	Dept. of Mathematics and Physics, Shanghai University of Electric Power, Shanghai 200090, China

引用文本：
于娜,徐东彦.欧式看跌期权的Esscher变换定价法[J].上海电力大学学报,2008,24(2):199-202.
YU Na,XU Dong-yan.European Put Options Pricing by Esscher Transform[J].Journal of Shanghai University of Electric Power,2008,24(2):199-202.