Insurance accurate calculation method of option pricing submitting to jump-diffusion process

被引：0

作者：

Zhang Qi-wen ^{[1
]}

Kong Liang ^{[1
]}

机构：

[1] Northeast Agr Univ, Sch Econ & Management, Harbin 150030, Heilongjiang, Peoples R China

来源：

PROCEEDINGS OF 2007 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE & ENGINEERING (14TH) VOLS 1-3 | 2007年

关键词：

insurance accurate calculation; jump-diffusion process; option pricing; renewal process;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The paper introduces a new method of option pricing which is insurance accurate calculation. It is to deal with the problems of option pricing under the unbalance, arbitrage existing and incomplete circumstance. Meanwhile this paper transforms option pricing into a problem of equivalent and fair insurance premium. This approach is valid even when arbitrage exists and market is incomplete and unbalanced. It is proved that subject matters with saltant price like agricultural product can be priced well by pricing model of jump-diffusion process. and in this paper, "abnormal" fluctuate of price is described by renewal process which is more general than Poisson process, and jump-diffusion price model is based on it, and its renewal interval is described by the F distribution.

引用

页码：1888 / +

页数：2

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