We present an axiomatic characterization of price measures that are superadditive and comonotonic additive for normally distributed random variables. The price representation derived, involves a probability measure transform that is closely related to the Esscher transform, and we call it the Esscher-Girsanov transform. In a financial market in which the primary asset price is represented by a ...

Pricing financial options is amongst the most important and challenging problems in the modern financial industry. Except in the simplest cases, the prices of options do not have a simple closed form solution and efficient computational methods are needed to determine them. Monte Carlo methods have increasingly become a popular computational tool to price complex financial options, especially w...

The actuarial and the financial approach to the pricing of risk remain different despite the increasingly direct interconnection of financial and insurance markets. The difference can be summarized as pricing based on classical risk theory (insurance) vs. non-arbitrage pricing (finance). However, comparable pricing principles are of importance when it comes to transferring insurance risk to fin...

For several years, the financial services industry has discovered the opportunities of different channels like the Internet, call-centers, WAP etc. Many banks built up separate direct banks focusing exclusively on the Internet and/or call-centers. Only recently, some banks started to reintegrate the direct banks with their traditional brickand-mortar banks in order to offer services over severa...

Different from the conventional methods of probability theory, this paper discusses the currency option pricing problem within the framework of uncertainty theory. Considering the uncertain factors in the financial market, we propose a new uncertain currency model with floating interest rates based on the assumption that the domestic interest rate, the foreign interest rate and the exchange rat...

Options are financial instruments designed to protect investors from the stock market randomness. In 1973, Fisher Black, Myron Scholes and Robert Merton proposed a very popular option pricing method using stochastic differential equations within the Itô interpretation. Herein, we derive the Black-Scholes equation for the option price using the Stratonovich calculus along with a comprehensive re...

In this paper, the Lie group analysis method is applied to the geometric average Asian option pricing equation in financial problems. Firstly, the complete Lie symmetry group and infinitesimal generators of this equation are derived. Then the optimal system with one parameter for the Lie symmetry algebra are obtained, which gives the possibility to describe a complete set of invariant solutions...

This paper aims to provide an overview and a performance comparison of some parallel and distributed algorithms for Bermudian-American option pricing. We use two Monte Carlo based methods to address such pricing in the case of a high number of assets (high-dimension) through continuation values classification and optimal exercise boundary computation. Our implementations are supported by a Java...

Futures contract is one of the most important derivatives that is used in financial markets in all over the world to buy or sell an asset or commodity in the future. Pricing of this tool depends on expected price of asset or commodity at the maturity date. According to this, theoretical futures pricing models try to find this expected price in order to use in the futures contract. So in this ar...

The famous Black-Sholes (BS) and Cox-Ross-Rubinstein (CRR) formulas are basic results in the modern theory of option pricing in financial mathematics. They are usually deduced by means of stochastic analysis; various generalisations of these formulas were proposed using more sophisticated stochastic models for common stocks pricing evolution. In this paper we develop systematically a determinis...