跳扩散模型下股价服从几何布朗运动的Esscher变换定价

Pricing Options of Esscher Transforms on Stocks Driven by Geometric Brownian with the Jump-Diffusion Model

考虑跳扩散模型下期权的Esscher变换定价,给出了Esscher变换下带跳的B-S矩生成函数和复合泊松过程下的矩生成函数,推导出跳扩散模型下期权的Esscher变换定价公式.

Pricing options of Esscher Transform on stocks driven by Geometric Brownian with the jump-diffusion model is considered＇. The moment-generating function and the theorem of compound Poisson process about the moment-generating function under B-S model with the jump-diffusion on stocks are given. Besides above cases, the paper [5] about the Wiener Process of Esscher Transforms is expressed as a special example.