An actuarial approach to pricing barrier options

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<dc:creator>Gerber, Hans U.</dc:creator>
<dc:creator>Shiu, Elias S. W.</dc:creator>
<dc:creator>Yang, Jun</dc:creator>
<dc:date>2021-06-07</dc:date>
<dc:description xml:lang="es">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.

</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/178940.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Fijación</dc:subject>
<dc:subject xml:lang="es">Precios</dc:subject>
<dc:subject xml:lang="es">Cálculo actuarial</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">An actuarial approach to pricing barrier options</dc:title>
<dc:relation xml:lang="es">En: European Actuarial Journal. - Cham, Switzerland  : Springer Nature Switzerland AG,  2021-2022. - 07/06/2021 Número 1 - junio 2021 , p. 333-339</dc:relation>
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