Centro de Documentación de Fundación MAPFRE - An actuarial approach to pricing barrier options

Notas: 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.

Registros relacionados: En: European Actuarial Journal. - Cham, Switzerland : Springer Nature Switzerland AG, 2021-2022. - 07/06/2021 Número 1 - junio 2021 , p. 333-339Materia / lugar / evento: Fijación Precios Cálculo actuarial Otros autores: Shiu, Elias S. W.
Yang, Jun
Outras classificações: 6

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