�����о�Esscher�任�±���ʲ��۸���Ӽ��β����˶�����չ
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����, �����˴�Ư�Ʋ����˶��ķ���ԭ�������; ���, ����Gerber��Shiu(1994)�����˶�ά
����ƽ���������̺Ͷ�ά��Ư�Ʋ����˶���Esscher�任���弰������; ���, Ӧ��Esscher�任
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This paper studies the price of extension of the European
exchange option (including generalized exchange option; compound exchange option;
barrier exchange option; traffic-light option) with the geometric Brownian motion.
Firstly, the reflection principle and property of the Browian motion with drift
are given; Secondly, the definitions and properties of the Esscher transform of
multidimensional processes with stationary and independent increments and
two-dimensional Browian motion with drift are given by borrowing from the idea of
Gerber and Shiu (1994); Finally, using related theory of Esscher transform, pricing
formulas of extension of several European exchange options are obtained when the
price of the underlying asset follows the geometric Brownian motion.