Insurance Accurate Calculation Method of Option Pricing Submitting to Jump-Diffusion Process

The paper introduces a new method of option pricing which is insurance accurate calculation. It is to deal with the problems of option pricing under the unbalance, arbitrage existing and incomplete circumstance. Meanwhile this paper transforms option pricing into a problem of equivalent and fair insurance premium. This approach is valid even when arbitrage exists and market is incomplete and unbalanced. It is proved that subject matters with saltant price like agricultural product can be priced well by pricing model of jump-diffusion process, and in this paper, "abnormal" fluctuate of price is described by renewal process which is more general than Poisson process, and jump-diffusion price model is based on it, and its renewal interval is described by the Gamma distribution.