Journal article
An actuarial approach to pricing barrier options
European actuarial journal, Vol.11(1), pp.333-339
02/16/2021
DOI: 10.1007/s13385-021-00266-1
Abstract
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.
Details
- Title: Subtitle
- An actuarial approach to pricing barrier options
- Creators
- Hans U Gerber - University of LausanneElias S. W Shiu - University of IowaJun Yang - Transamerica Life Insurance Company, Cedar Rapids, USA
- Resource Type
- Journal article
- Publication Details
- European actuarial journal, Vol.11(1), pp.333-339
- Publisher
- Springer Berlin Heidelberg
- DOI
- 10.1007/s13385-021-00266-1
- ISSN
- 2190-9733
- eISSN
- 2190-9741
- Grant note
- Principal Financial Group (US)
- Language
- English
- Date published
- 02/16/2021
- Academic Unit
- Statistics and Actuarial Science
- Record Identifier
- 9984257740002771
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