再装股票期权的Esscher变换定价

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

近年来,公司为了吸引和激励股票的执行者而引入了一系列的非传统期权.本文将讨论其中的一种:再装期权,运用Esscher变换给出了再装期权(只装一次)的闭式解,并提供了数值计算的例子,为实践者提供了理论上的参考价格.

In recent years, as companies have sought to attract and retain executives in critical positions, a number of non - traditional executive stock options have been developed. In this paper, We executive one such non- traditional executive option, the reload option. We derive a closed - form formula for the reload option. We derive a closed - form formula for the reload option with a single reload time. Some numerical illustrations are presented also, so a reference price is provided in practice.