| 欧式看跌期权的Esscher变换定价法 |
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| 引用本文： | 于娜,徐东彦.欧式看跌期权的Esscher变换定价法[J].上海电力学院学报,2008,24(2):199-202. |
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| 作者姓名： | 于娜 徐东彦 |
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| 作者单位： | 上海电力学院,数理系,上海,200090 |
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| 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.
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| 关 键 词： | 期权 期权定价 Esscher变换 |
| 收稿时间： | 2007/11/13 0:00:00 |
European Put Options Pricing by Esscher Transform |
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| YU Na and XU Dong-yan.European Put Options Pricing by Esscher Transform[J].Journal of Shanghai University of Electric Power,2008,24(2):199-202. |
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| Authors: | YU Na and XU Dong-yan |
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| Affiliation: | Dept. of Mathematics and Physics, Shanghai University of Electric Power, Shanghai 200090, China and Dept. of Mathematics and Physics, Shanghai University of Electric Power, Shanghai 200090, China |
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| 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. |
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| Keywords: | option option pricing Esscher transform |
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