An actuarial approach to pricing barrier options

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      <subfield code="a">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.

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      <subfield code="g">07/06/2021 Volúmen 11 - Número 1 - junio 2021 , p. 333-339</subfield>
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