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- W2359891372 abstract "Based on a review of the studies on the correlation between option pricing and actuarial approach,the law of supply-demand equilibrium is applied to the deduction of actuarial pricing equation of pure premium instead of the no-arbitrage equilibrium theory about financial market. Then,assuming that the loss complies with the logarithmic normal distribution,the classic Black-Scholes option pricing model in the continuous-time state is deduced in actuarial way. As a result,the actuarial approach and option pricing are unified into the general economic research framework which proves economically that the actuarial pricing of pure premium we gave is just Pareto optimal pure premium,i.e.,the price of call option. In this way we can get rid of the hindrance to the applications of option pricing model to the insurance field,thus laying theoretical foundation on which the integration and unification of actuarial approach with option pricing are available." @default.
- W2359891372 created "2016-06-24" @default.
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- W2359891372 date "2010-01-01" @default.
- W2359891372 modified "2023-09-23" @default.
- W2359891372 title "Correlation Between Actuarial Approach and Option Pricing Based on Supply-Demand Equilibrium" @default.
- W2359891372 hasPublicationYear "2010" @default.
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