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An actuarial approach to pricing barrier options
Recurso electrónico / Electronic resource
MAP20220007313
Gerber, Hans U. ‌
An actuarial approach to pricing barrier options / Hans U. Gerber, Elias S. W. Shiu, Jun Yang
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.

En: European Actuarial Journal. - Cham, Switzerland : Springer Nature Switzerland AG, 2021-2022. - 07/06/2021 Número 1 - junio 2021 , p. 333-339
1. Fijación ‌. 2. Precios ‌. 3. Cálculo actuarial ‌. I. Shiu, Elias S. W. ‌. II. Yang, Jun ‌. III. Title.