An actuarial approach to pricing barrier options
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20220007313 | ||
| 003 | MAP | ||
| 005 | 20220301115640.0 | ||
| 008 | 220301e20210607esp|||p |0|||b|spa d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | 1 | $0MAPA20080132224$aGerber, Hans U. | |
| 245 | 1 | 0 | $aAn actuarial approach to pricing barrier options$cHans U. Gerber, Elias S. W. Shiu, Jun Yang |
| 520 | $aWe 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. | ||
| 650 | 4 | $0MAPA20210022784$aFijación | |
| 650 | 4 | $0MAPA20080545062$aPrecios | |
| 650 | 4 | $0MAPA20080579258$aCálculo actuarial | |
| 700 | 1 | $0MAPA20220002240$aShiu, Elias S. W. | |
| 700 | 1 | $0MAPA20220002271$aYang, Jun | |
| 773 | 0 | $wMAP20220007085$tEuropean Actuarial Journal$dCham, Switzerland : Springer Nature Switzerland AG, 2021-2022$g07/06/2021 Volúmen 11 - Número 1 - junio 2021 , p. 333-339 |