In this paper, we recall actuarial and financial applications of sums of dependent random
variables that follow a non-Gaussian mean-reverting process and contemplate distribution …

Catastrophe (CAT) swaps are bilateral contracts through which CAT losses can be
transferred between two counterparties. They do not require collateral upon initiation …

We present closed‐form lower bounds for the price of arithmetic average Asian options
under geometric Brownian motion. Lower bounds are found by conditioning on multiple …

We find explicit formulas for the moments of the time integral of an exponential Lévy process.
We consider both the cases of unconditional moments and conditional on the Lévy process …

In this paper, we develop a Markov chain‐based approximation method to price arithmetic
Asian options for short maturities under the case of geometric Brownian motion. It has the …

Models for human choice prediction in preference learning and psychophysics often
consider only binary response data, requiring many samples to accurately learn preferences …

The valuation of Asian options is complicated because the arithmetic average of lognormal
random variables is no longer lognormal. Furthermore, the stochastic volatility inherent in …

This study investigates compound basket options, which are options on portfolios of options.
Although they may be new to financial markets, they are available as equity basket options …

This study adopts the unbounded-system distribution of the Johnson (1949) distribution
family to approximate the basket/spread distribution and derive a versatile pricing model …

This paper studies the estimation of the pricing kernel and explains the pricing kernel puzzle
found in the FTSE 100 index. We use prices of options and futures on the FTSE 100 index to …