An actuarial approach to pricing barrier options

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<namePart>Gerber, Hans U.</namePart>
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<namePart>Shiu, Elias S. W.</namePart>
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<namePart>Yang, Jun</namePart>
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<abstract displayLabel="Summary">We show that two key concepts in actuarial science, Esscher transform and adjustment coefficient, together can provide an efficient method for pricing certain exotic options, known as barrier options. The stock price process is assumed to be a geometric Brownian motion.

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<note type="statement of responsibility">Hans U. Gerber, Elias S. W. Shiu, Jun Yang</note>
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<topic>Fijación</topic>
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<topic>Precios</topic>
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<topic>Cálculo actuarial</topic>
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<title>European Actuarial Journal</title>
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<publisher>Cham, Switzerland  : Springer Nature Switzerland AG,  2021-2022</publisher>
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<identifier type="local">MAP20220007085</identifier>
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<text>07/06/2021 Volúmen 11 - Número 1 - junio 2021 , p. 333-339</text>
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