Financial Derivative Uncertainty Claim Pricing Using Meixner Distribution Skewed Operators

Godswill U. Achi, J. U. Okafor, Ogwo Obiageri, Solomon Okechukwu

Abstract


In this paper, consideration is given to the problem of independent/uncertain claim pricing using distribution operators. This method was earlier studied in Insurance Pricing where the original operator was described in relation to normal distribution. We apply the Meixner process to financial pricing since the normal distribution is a very poor model to fit log-returns of financial assets like stocks or indices. For us to realize a better fit, we substitute the normal distribution by Meixner process. Hence, we generalize this approach by using an operator based on the density Meixner distribution. We further show how Meixner operator function can be used to derive the formular for asset pricing of independent/uncertain future returns of a risky asset.

Full Text: PDF DOI: 10.5539/jmr.v5n3p69

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This work is licensed under a Creative Commons Attribution 3.0 License.

Journal of Mathematics Research   ISSN 1916-9795 (Print)   ISSN 1916-9809 (Online)

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