套利定价理论及保险精算方法在期权定价中的应用.pdfVIP

最后指出了套利定价和风险中性定价的一致性． 31引入了一种期权定价的新方法，即保险精算方法，可以解决当市场是有套 利、非均衡、不完备时的期权定价问题，将期权定价问题转化为等价的公平保费 义B—s模型的期权定价的一般方法．利用保险精算方法给出了股票价格遵循广义 O．u过程模型的欧式期权的精确定价公式和买权与卖权之间的平价关系以及股票 价格过程遵循指数Levy过程的定价模型，最后推导出利率确定情形下外汇期权的 定价公式，并且给出了保险精算方法在可转换债券定价中的应用． 关键词：套利定价期权定价偏微分方程等价鞅测度公平保费 of andInsurance ArbitragePricingTheory Application Methodsto Actuary OptionPricing LiuQian in make lSthe Abstract iSausualtransactionbehaviororderto Arbitrage profits．It ofriskless an riskless is possibility profits．Ifasset(portfolio)hassuperprofits，there inthemarket isaninternal tOmakethemarket arbitrageopportunity Arbitrage power efficient，allthe inthemarketreflectalltheinformationand prices entirely will the is fromitsnature temporarilydeviating disappearby arbitrage，that Anyprice to marketreaches 2 isno capital balance(supplydemand)，therearbitrage． say,when isbasedonthe ofthe market，uses Therefore，arbitragepricingtheory,which efficiency be tothe offinancial can methodology．Thetheory appliedpricing products equilibrium andtheirderivative productswidely． The of isoneof infinancialmathematics． problemoptionpricing keyproblems Undertheconditionof