2026-07-072026-07-07http://salesiana.dossiersoluciones.com/handle/123456789/208926In this paper we study dynamic pricing mechanisms of financial derivatives. A typical model of such pricing mechanism is the so-called g--expectation defined by solutions of a backward stochastic differential equation with g as its generating function. Black-Scholes pricing model is a special linear case of this pricing mechanism. We are mainly concerned with two types of pricing mechanisms in an option market: the market pricing mechanism through which the market prices of options are produced, and the ask-bid pricing mechanism operated through the system of market makers. The later one is a typical nonlinear pricing mechanism. Data of prices produced by these two pricing mechanisms are usually quoted in an option market. We introduce a criteria, i.e., the domination condition (A5) in (2.5) to test if a dynamic pricing mechanism under investigation is a g--pricing mechanism. This domination condition was statistically tested using CME data documents. The result of test is significantly positive. We also provide some useful characterizations of a pricing mechanism by its generating function.ProbabilityPricing of Securities60H10, 60H05, 60H30, 60J60, 60J65text