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指数levy过程下期权定价的保险精算方法 被引量：1

Pricing of Option When Underlying Asset Price Submitting to Exponential of a Levy Process Using Insurance Actuary
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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。 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.
作者 孔亮 张启文
机构地区 东北农业大学
出处 《东北农业大学学报（社会科学版）》 2007年第1期53-55,共3页 Journal of Northeast Agricultural University:Social Science Edition
关键词 期权定价 保险精算方法 指数levy过程 option pricing, insurance actuary pricing, exponential of a Levy process
分类号 F840 [经济管理—保险]
  • 相关文献

参考文献10

  • 1[1]Black F,Scholes M.The pricing of options and corporate liabilites[J].Journal of Political Economy 1973,81(3):637～654
  • 2[2]Lo A W,Mackinlary A C.Stock market prices do not follow random walks:evidence from a simple specification test[J].Review of Financial Studies,1988(1)
  • 3[3]Knut K,AASE.Contingent claims valuation when the security price is combination of an ito process and a random point process[J].Stochastic processes and their Applications,1988,28(2)
  • 4[4]Merton M C.Continuous-Time finance[M].Cambridge M A:Blackwell Publishers.1990
  • 5[5]Martin Schweizer.Option Heading for semi-martingales[J].Stochastic Processes and Their Application,1991,39(3)
  • 6[6]Chan T.Pricing contingent claims on stocks driven by Levy prosesses[J].Annals of Appl Prob,1999,9(2)
  • 7[7]Kallsen Jan.Optional portfolios for exponential Levy processes[J].Math Meth Oper Res,2000,51(3)
  • 8[8]Jean Luc Prigent.Option pricing with a general marked point process[J].Mathmatics of Operations Research,2001,26(1)
  • 9[9]Bladt M,Rydberg T H.An actuartial approach to option pricing under the physical measure and without market assumptions[J].Insurance:Mathematics and Economics,1998,22(1)
  • 10闫海峰,刘三阳.带有Poisson跳的股票价格模型的期权定价[J].工程数学学报,2003,20(2):35-40. 被引量：46

二级参考文献13

  • 1Blacd F, Scholes M. The pricing of options and corporate liabilities[J]. Journal of Political Economy, 1973;81(3) :637 - 654.
  • 2Lo A W, Mackinlary A C. Stock market prices do not follow random walks: evidence from a simple specification test[ J]. Review of Financial Studies, 1988 ; 1:41 - 66.
  • 3Knut K, AASE. Contingent claims valuation when the security price is combination of an its process and a random point process[J]. Stochastic processes and their Applications, 1988 ;28(2) :185 -220.
  • 4Merton M C. Continuous-Time finance[ M]. Cambridge M A: Blackwell Publishers, 1990.
  • 5Martin Schweizer. Option heading for semi-martingales[J]. Stochastic Processes and Their Application, 1991 ;37(3) :339 - 360.
  • 6Chan T. Pricing contingent claims on stocks driven by Levy processes[ J ]. Annals of Appl Prob, 1999;9 (2) :504- 528.
  • 7Kallsen Jan. Optimal portfolios for exponential Levy processes [ J ]. Math Meth Oper Res, 2000 ; 51 (3) : 357 - 374.
  • 8Jean Luc Prigent. Option pricing with a general marked point process[J]. Mathematics of Operations Research,2001 ;26(1) :50 - 66.
  • 9Bladt M, Rydberg T H. An actuartial approach to option pricing under the physical measure and without market assumptions[ J]. Insurance: Mathematics and Economics, 1998 ;22 ( 1 ) :65 - 73.
  • 10Cox J C, Roos S A, Rubinstein M. Option pricing: a simplified approach[J]. Journal of Economics,1979;7(3) :229 - 263.

共引文献45

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东北农业大学学报（社会科学版）
2007年 第1期

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