| Option Pricing by Mean Correcting Method for Non-Gaussian Lvy Processes |
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| 作者单位： | [1]School of Mathematics and Statistics, Hu＇nan Business College, Changsha 410205, P. R. China [2]College of Mathematics and Computer Science, Hu＇nan Normal University, Changsha 410081, P. R. China |
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| 基金项目： | Supported by National Natural Science Foundation of China （Grant No. 11171101）, National Social Science Fund of China （Grant No. 11BTJ011）, and Research Projects of Humanities and Social Sciences Foundation of Ministry of Education of China （Grant No. 12YJAZH173）Acknowledgements We thank the referees for their time and comments. |
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| 摘 要： | For a non-Gaussian Lévy 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.
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| 关 键 词： | Non-Gaussian Lévy processes mean correcting method option pricing |
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