An actuarial approach to pricing barrier options (Q825309): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank |
Revision as of 02:19, 5 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | An actuarial approach to pricing barrier options |
scientific article |
Statements
An actuarial approach to pricing barrier options (English)
0 references
17 December 2021
0 references
Esscher transform
0 references
exponential tilting
0 references
adjustment coefficient
0 references
barrier options
0 references
Black-Scholes option pricing
0 references
adjusted payoff
0 references