基于供需均衡的保险精算与期权定价相关性-JournalofNortheastern.PDFVIP

第3 1 卷第7期 东 北 大 学 学 报 ( 自 然 科 学 版 ) V ol31, No. 7 2 0 10 年 7 月 Journal of Nor heas ern U niversi y( N a ural Science) Jul. 2 0 1 0 郑 红, 郭亚军, 曾 华 ( , 110004) : , , ; , , Black-Scholes ; , , , : ; ; ; Black- Scholes : F 840 : A : 1005- 3026( 2010) 07- 104 6- 04 Correlation Between Actuarial Approach and Option Pricing Based on Supply-Demand Equilibrium ZHEN G Hong, GUO Ya-j un, ZENG H ua ( School of Business A dminis ra ion , Nor heas er n Universi y, Sheny ang 110004, China. Corresponden : ZHENG Hong, E- mail: hzheng @ mail . neu . edu. cn) Abstract : Based on a review of he s udies on he correla ion be ween op ion pricing and ac uarial approach, he law of supply- demand equilibrium is applied o he deduc ion of ac uarial pricing equa ion of pure premium ins ead of he no- arbi rage equilibrium heory abou financial marke . T hen, assuming ha he loss complies wi h he logari hm ic normal dis ribu ion, he classic Black- Scholes op ion pricing model in he con inuous- ime s a e is deduced in ac uarial way. As a resul , he ac uarial approach and op ion pricing are unif ied in o he general economic research framework w hich proves economically ha he ac uarial pricing of pure premium w e gave is ju s P are o op imal pure premium, i. e. , he price of call op ion . In his w ay w e can ge rid of he hindrance o he applica ions of op ion pricing model o he insurance field, hus lay ing heore ical founda ion on which he in egra ion and unif ica ion of ac uarial approach w i h op ion pricing are available. Key words: supply- dem and equilibrium principle; ac uarial approach ; op ion pricing; Black- Scholes model , ,