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Entropy martingale optimal transport and nonlinear pricing–hedging duality
The objective of this paper is to develop a duality between a novel entropy martingale optimal transport (EMOT) problem and an associated...
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A closed-form pricing formula for European options under a multi-factor nonlinear stochastic volatility model with regime-switching
In this paper, a new stochastic volatility model for pricing European call option is proposed, which introduces the regime-switching mechanism...
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IMEX-RK Finite Volume Methods for Nonlinear 1d Parabolic PDEs. Application to Option Pricing
The goal of this paper is to develop 2nd order Implicit-Explicit Runge-Kutta (IMEX-RK) finite volume (FV) schemes for solving 1d parabolic PDEs for...
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Measuring and mitigating biases in motor insurance pricing
The non-life insurance sector operates within a highly competitive and tightly regulated framework, confronting a pivotal juncture in the formulation...
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Pricing European option under the generalized fractional jump-diffusion model
The pricing problem of European option is investigated under the generalized fractional jump-diffusion model. First of all, the generalized...
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Asset pricing with dynamically inconsistent agents
This paper investigates an endowment economy featuring dynamically inconsistent preferences. Taking a game-theoretic approach, the paper provides an...
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Enhancing actuarial non-life pricing models via transformers
Currently, there is a lot of research in the field of neural networks for non-life insurance pricing. The usual goal is to improve the predictive...
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Fundamentals of Actuarial Pricing
“Insurance is the contribution of the few to the misfortune of the many” is a simple way to describe what insurance is. But it doesn’t say what the...
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Optimal three-part tariff pricing with Spence-Mirrlees reservation prices
We study the pricing of three-part tariffs (3PTs), where service providers charge a fixed fee with an allowance of free units, and a per-unit fee for...
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A Robust Numerical Simulation of a Fractional Black–Scholes Equation for Pricing American Options
After the discovery of fractal structures of financial markets, fractional partial differential equations (fPDEs) became very popular in studying...
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Pricing options on flow forwards by neural networks in a Hilbert space
We propose a new methodology for pricing options on flow forwards by applying infinite-dimensional neural networks. We recast the pricing problem as...
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Modeling and pricing cyber insurance
The paper provides a comprehensive overview of modeling and pricing cyber insurance and includes clear and easily understandable explanations of the...
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A Terminal Condition in Linear Bond-pricing Under Symmetry Invariance
In this paper, we examine a general bond-pricing model with respect to its solutions that satisfy a given terminal condition. Firstly, we obtain...
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An analytical approach to the pricing of an exchange option with default risk under a stochastic volatility model
The exchange option, which has two correlated underlying assets, is one of the most popular exotic options in the over-the-counter markets. This...
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Spot Models and Forward Pricing
Arithmetic and geometric factor models for the spot price dynamics in energy markets are reviewed, and the implied forward price dynamics from these...
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Computational aspects of column generation for nonlinear and conic optimization: classical and linearized schemes
Solving large scale nonlinear optimization problems requires either significant computing resources or the development of specialized algorithms. For...
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A deep learning method for pricing high-dimensional American-style options via state-space partition
This paper proposes a deep learning approach for solving optimal stop** problems and high-dimensional American-style options pricing problems....
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Optimal item pricing in online combinatorial auctions
We consider a fundamental pricing problem in combinatorial auctions. We are given a set of indivisible items and a set of buyers with randomly drawn...
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European Option Pricing Under Fuzzy CEV Model
In modern financial market, option is a very effective tool to hedge the risks brought by various uncertainties in real society. Therefore, it is of...
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A Dynamic Game of Strategic Carbon Taxation and Energy Pricing with Green Technology Innovation
This paper uses a dynamic game to investigate the strategic interactions between carbon taxation by a coalition of resource consumers and (wellhead)...
