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An actuarial approach to pricing barrier options
Recurso electrónico / Electronic resource
Section: Articles
Title: An actuarial approach to pricing barrier options / Hans U. Gerber, Elias S. W. Shiu, Jun YangAuthor: Gerber, Hans U. ‌
Notes: Sumario: 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.

Related records: En: European Actuarial Journal. - Cham, Switzerland : Springer Nature Switzerland AG, 2021-2022. - 07/06/2021 Volúmen 11 - Número 1 - junio 2021 , p. 333-339Materia / lugar / evento: Fijación ‌Precios ‌Cálculo actuarial ‌Otros autores: Shiu, Elias S. W. ‌
Yang, Jun ‌
Other categories: 6
Rights: In Copyright (InC)
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