An actuarial approach to pricing barrier options (Q825309)
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scientific article; zbMATH DE number 7447472
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An actuarial approach to pricing barrier options |
scientific article; zbMATH DE number 7447472 |
Statements
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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0.91387904
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0.9106724
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0.90839857
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0.9009669
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