Pricing of Option When Underlying Asset Price Submitting to Exponential of a Levy Process
we introduce a new method of option pricing, namely insurance accurate calculation to deal with the problem of option pricing under the unbalanced, arbitrage copying and the incomplete circumstances. Meanwhile this article transforms option pricing into an equivalent insurance or a fair premium. This approach is valid even when arbitrage exists and market is incomplete and un-equilibrium. And the pricing model in which subjected price submitting to the process of levy is also given in this essay.
option pricing insurance accurate calculation exponential of levy process
KONG Liang ZHANG Qiwen
Northeast Agricultural University College of Economics & Management
国际会议
The 5th International Annual Conference on WTO and Financial Engineering(第五届WTO与金融工程国际会议)
杭州
英文
661-664
2008-05-18（万方平台首次上网日期，不代表论文的发表时间）