An actuarial approach to pricing barrier options

DOI10.1007/s13385-021-00266-1zbMath1479.91324OpenAlexW3133245455MaRDI 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

zbMATH Keywords

exponential tiltingadjustment coefficientEsscher transformbarrier optionsadjusted payoffBlack-Scholes option pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial mathematics (91G05)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Actuarial bridges to dynamic hedging and option pricing
• Stochastic calculus for finance. II: Continuous-time models.
• Barrier options and their static hedges: simple derivations and extensions
• PUT‐CALL SYMMETRY: EXTENSIONS AND APPLICATIONS

This page was built for publication: An actuarial approach to pricing barrier options