Option Pricing by Mean Correcting Method for Non-Gaussian Lvy Processes  

作　　者：Luo Gen YAO Gang YANG Xiang Qun YANG 

机构地区：[1]School of Mathematics and Statistics,Hu'nan Business College [2]College of Mathematics and Computer Science,Hu'nan Normal University

出　　处：《Acta Mathematica Sinica,English Series》2013年第10期1927-1938,共12页数学学报（英文版）

基　　金：Supported by National Natural Science Foundation of China(Grant No.11171101);National Social Science Fund of China(Grant No.11BTJ011);Research Projects of Humanities and Social Sciences Foundation of Ministry of Education of China(Grant No.12YJAZH173)1)

摘　　要：For a non-Gaussian Levy model, it is shown that if the model exists a trivial arbitrage-free interval, option pricing by mean correcting method is always arbitrage-free, and if the arbitrage-free interval is non-trivial, this pricing method may lead to arbitrage in some cases. In the latter case, some necessary and sufficient conditions under which option price is arbitrage-free are obtained.For a non-Gaussian Levy model, it is shown that if the model exists a trivial arbitrage-free interval, option pricing by mean correcting method is always arbitrage-free, and if the arbitrage-free interval is non-trivial, this pricing method may lead to arbitrage in some cases. In the latter case, some necessary and sufficient conditions under which option price is arbitrage-free are obtained.

关 键 词：Non-Gaussian Levy processes mean correcting method option pricing 

分 类 号：O211.6[理学—概率论与数理统计]