In this article, we present two option pricing models of optimal security portfolio in real world measure. We use multi-Vasicek model to describe the change pattern of the return of security portfolio with time varying correlation. Explicit expressions of call and put option prices are obtained....

In this article, we present two option pricing models of optimal security portfolio in real world measure. We use multi-Vasicek model to describe the change pattern of the return of security portfolio with time varying correlation. Explicit expressions of call and put option prices are obtained....

In this article, a model of optimal insurance pricing and investment strategies is established. The insurance price, investment returns and insured losses are assumed to be correlated stochastic processes. N kinds of invested risky assets following multi-Vasicek model with time-varying...

In this article, we establish a model of insurance pricing with the assumptions that the insurance price, investment returns and insured losses are correlated stochastic processes, while also considering the affect of the demand on the price. The objective of the pricing model is to maximize the...