Note on option pricing by actuarial considerations

DOI10.1016/J.INSMATHECO.2005.06.001MaRDI QIDQ882876zbMATH OpenOpenAlexFDO

Authors N. Schmitz

Publication date 24 May 2007

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2005.06.001

zbMATH Keywords

DiscountingEuropean optionsFair price

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites work

• An actuarial approach to option pricing under the physical measure and without market assumptions

Cited in

(2)

• An actuarial approach to reload option valuation for a non-tradable risk assets under jump-diffusion process and stochastic interest rate
• Option pricing by mean correcting method for non-Gaussian Lévy processes

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