欧式重设卖权的Esscher变换定价

摘要

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.%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.