Note on option pricing by actuarial considerations

DOI10.1016/j.insmatheco.2005.06.001zbMath1137.62386OpenAlexW2073378970MaRDI QIDQ882876

Norbert 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

European optionsDiscountingFair price

Mathematics Subject Classification ID

Related Items (2)

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

Cites Work

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

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