Risk-evaluation modeling based on Levy process and its applications

运用数学金融理论，研究了不完全市场下的期权定价问题，并证明了[GLP & MEMM]定价模型的有效性。我们还研究了非有效市场中金融资产或非流通资产的评估问题（如项目评估）。在这种情况下，标准套利理论无法适用，因此我们研究了另一种方法，并得到了风险敏感价值度量是一种非常有效的评估方法的结果。

Relating to the mathematical finance theory, we have studied the option pricing problems in the incomplete market, and we have showed the efficiency of the [GLP & MEMM] pricing model. We have also studied the evaluation problems for the financial assets in the non-efficient market or the non-tradable asset (for example, project evaluation). In this case the standard arbitrage theory can not applied, and so we investigate another method and we have obtained a result that the risk-sensitive value measure is a very powerful method for these evaluation problems.