欧式向下敲出看涨幂期权的Esscher变换定价

PRICING SEVERAL EUROPEAN DOWN-AND-OUT POWER CALLS BY ESSCHER TRANSFORMS

首先根据障碍期权的不同类型,对普通欧式向下敲出看涨幂期权、部分时间开始、部分时间结束、一般部分时间欧式向下敲出看涨幂期权给出定义.通过E sscher变换分别给出定价公式.另外,对两资产欧式向下敲出幂期权也给出了定价公式,为实践者提供了理论上的参考价格.最后,阐述了此方法的优点.

According to different kinds of barrier options, we define ordinary European Down and Out Power Calls, Partial time start, Partial time end and ordinary partial time Down-and-out Power calls. By means of Esscher Transforms ,we give the pricing formulas. Two Asset Down-and-out power calls are also considered. So a reference price is provided in practice. Finally, we generalize the advantage of the Esscher Transforms.