Pricing of Option When Underlying Asset Price Submitting to Exponential of a Levy Process

摘要

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.