An actuarial approach to pricing barrier options
From MaRDI portal
Publication:825309
DOI10.1007/s13385-021-00266-1zbMath1479.91324MaRDI QIDQ825309
Hans U. Gerber, Jun Yang, Elias S. W. Shiu
Publication date: 17 December 2021
Published in: European Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13385-021-00266-1
exponential tilting; adjustment coefficient; Esscher transform; barrier options; adjusted payoff; Black-Scholes option pricing
Cites Work