保险精算方法在期权定价模型中的应用  

Application of Actuarial Approach to Option Pricing Model

作　　者：郑红[1] 郭亚军[1] 李勇[2] 刘芳华[1] 

机构地区：[1]东北大学工商管理学院,辽宁沈阳110004 [2]东北大学资产管理处,辽宁沈阳110004

出　　处：《东北大学学报（自然科学版）》2008年第3期429-432,共4页Journal of Northeastern University(Natural Science)

基　　金：国家自然科学基金(70472032)．

摘　　要：Norbert Sehmitz用反例证明Mogens Bladt与Tina Hvid Rydberg提出的期权定价的精算公式是错误的.在修正Bladt和Rydberg提出的精算公式基础上,从评估实际损失和相应概率分布角度来定量研究期权价值构成,获得基于保险精算方法的期权定价模型,并进一步推导出经典Black-Scholes期权定价公式.精算方法在一定程度克服了基于无风险套利、复制思想得到的B-S模型假设严格、公式推导较为繁琐的不足,指出精算定价与B-S期权定价方法之间的差异.最后给出算例探讨保险精算方法在期权定价理论中的应用,为实践中合理确定期权价格提供理论和实践参考价值.To modify the actuarial formula put forward by Bladt and Rydberg, an actuarial approach is proposed in view of evaluating actual losses and corresponding probability distribution to quantitatively check the price composition of European premium, thus developing an option pricing model to deduce further the famous Black-Scholes formula. The reasoning process of the approach avoids the shortcomings of strict assumption and overelaborate deduction of B-S model arising from riskless arbitrage and reconstructed thought to a certain extend. And some differences between the actuarial approach and B-S formula are given. An example is given to explore the application of actuarial approach to option pricing model, which can be used as a reference for theoretical discussion and practice.

关 键 词：保险精算方法 期权定价模型 欧式看涨期权 几何布朗运动 Black—Scholes公式 

分 类 号：F224[经济管理—国民经济]