A mathematical statistical model is needed to obtain an option prime and create a hedging strategy. With formulas derived from stochastic differential equations, the primes for US Dollar/Chilean Pesos currency options using a prime calculator are obtained. Furthermore, a backward simulation of the option prime trajectory is used with a numerical method created for backward stochastic differential equations. The use of statistics in finance is highly important in order to develop complex products.
"Estimation of the Option Prime: Microsimulation of Backward Stochastic Differential Equations." Internat. Statist. Rev. 72 (1) 107 - 121, April 2004.