| 指数levy过程下期权定价的保险精算方法 |
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| 引用本文： | 孔亮,张启文.指数levy过程下期权定价的保险精算方法[J].东北农业大学学报(社会科学版),2007,5(1):53-55. |
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| 作者姓名： | 孔亮 张启文 |
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| 作者单位： | 东北农业大学,黑龙江,哈尔滨,150030 |
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| 摘 要： | 期权定价问题引入了一种新的思想,即采用保险精算的方法,以此来解决非均衡、有套利、不完备市场条件下的期权定价。将期权定价问题转化为等价的公平保费问题。并给出了标的物价格服从指数levy过程的定价模型。经证明对农产品等价格有跳跃的标的物能够很好地给出定价。
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| 关 键 词： | 期权定价 保险精算方法 指数levy过程 |
Pricing of Option When Underlying Asset Price Submitting to Exponential of a Levy Process Using Insurance Actuary |
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| Kong Liang,Zhang Qiwen.Pricing of Option When Underlying Asset Price Submitting to Exponential of a Levy Process Using Insurance Actuary[J].Journal of Northeast Agricultural University:Social Science Edition,2007,5(1):53-55. |
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| Authors: | Kong Liang Zhang Qiwen |
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| Abstract: | We introduce a new method to option piecing-an actuarial approach. It turns option pricing into and equivalent insurance or a fair premium determination. The approach is valid even when arbitrage exists and the market is incompleteness and un-equilibrium. And pricing process respectively driven by an exponential of a Levy process, we obtain the accurate formulas of European option. |
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| Keywords: | option pricing insurance actuary pricing exponential of a Levy process |
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