具有连续红利的幂型欧式期权定价

The Pricing of Power Payoffs European Options with Continuous Dividend

在等价鞅测度框架下,讨论了在期权到期时刻具有连续红利支付的幂型股票欧式期权的定价公式.这里我们假设市场无风险利率,股票预期收益率,股价波动率以及股票红利率都是时间的确定性函数.

Under the framework of equivalent martingale measures, we discuss the pricing formulas of power payoffs European options with continuous dividend at the time of maturity of the options. Here, we assume that the risk-free rate of interest, the expected rate of return, the volatility for the stock price and the dividend of the stock price are deterministic functions of the time.