We introduce a generalisation of Aguiarís (2017) random categorisation rule (RCR) that allows preferences to be category dependent. Our generalised random categorisation rule (GRCR) requires the preferences associated with two di§erent categories to agree on their intersection. We show that...

This paper addresses the challenges associated with pricing exotic options, specifically path-dependent ones, with a focus on the limitations of standard Monte Carlo simulations and the advantages provided by Conditional Monte Carlo methods, introduced by Babsiri and Noel in 1998. Path dependent...

Process outputs of many production processes like chemical, food processing and pharmaceutical industry follow a stationary Gaussian process. Some amount of measurement error always present in the measured data due to inaccurate measuring processes. Throughout this paper, we discuss some...

The paper highlights the encountered problems in implementing real options under more realistic assumptions such as business cycle risk and normally distributed cash flows. The problems considered include (i) estimating empirical distribution of cash flows from real option investments; (ii)...

We derive methods for risk-neutral pricing of multi-asset options, when log-returns jointly follow a multivariate tempered stable distribution. These lead to processes that are more realistic than the better known Brownian motion and stable processes. Further, we introduce the diagonal tempered...