The purpose of this paper is to shed light on some qualitative properties of binomial lattice models by analysing the entire distribution of future values arising from simple bond investment strategies. Our analysis is carried out by first determining the arbitrage free developments of the...

An equity linked life and pension insurance consists of a non-linear combination of a life and pension insurance with an investment strategy. In addition to the guaranteed payments the insured receives a bonus depending on the value of an investment strategy. The additional payment is similar to...

Interest rate futures are basic securities and at the same time highly liquid traded objects. Despite this observation, most models of the term structure of interest rate assume forward rates as primary elements. The processes of futures prices are therefore endogenously determined in these...

The aim of the paper is to develop and compare bounds on the pricing formulas for European type discrete Asian options. The lower bound is found by conditioning the maturity payment of the Asian option by the geometric average and the bound derived can be expressed as a portfolio of delayed...