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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.
Considering the pricing of Esscher transform under the jump diffusion model, the B-S moment generation function with hop and the moment generation function under compound Poisson process under Esscher transform are given. The pricing formula of Esscher transform under the jump diffusion model is derived.