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- W2375974787 abstract "The problem of pricing options in financial engineering is discussed. Under the assumption that underlying assets have some jumps with stochastic amplitudes, the paper presents the insurance actuary price for a power option through the fair premium law. First, considering that the market information and its influence on prices of risk assets is stochastic, a jump-diffusion model with stochastic jump-size is introduced as a risky-asset price process. Second, a price formula for a power option is derived by using the properties of Poisson distributions and the total expectation formula. In the formula, fair price for options is given as a series. Therefore, investors can compute it easily and better manage the price risk." @default.
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- W2375974787 date "2010-06-15" @default.
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- W2375974787 title "Pricing Power Options Using the Actuarial Approach" @default.
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