An actuarial approach to pricing barrier options (Q825309): Difference between revisions
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Property / cites work: The Pricing of Options and Corporate Liabilities / rank | |||
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Property / cites work: PUT‐CALL SYMMETRY: EXTENSIONS AND APPLICATIONS / rank | |||
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Property / cites work: Actuarial bridges to dynamic hedging and option pricing / rank | |||
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Property / cites work: Barrier options and their static hedges: simple derivations and extensions / rank | |||
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Property / cites work: Stochastic calculus for finance. II: Continuous-time models. / rank | |||
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Latest revision as of 14:31, 27 July 2024
scientific article
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English | An actuarial approach to pricing barrier options |
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An actuarial approach to pricing barrier options (English)
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17 December 2021
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Esscher transform
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exponential tilting
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adjustment coefficient
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barrier options
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Black-Scholes option pricing
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adjusted payoff
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