An actuarial approach to pricing barrier options
type: Item
instance of: scholarly article
title: An actuarial approach to pricing barrier options
zbMATH Open document ID: 1479.91324
author: H. U. Gerber
author: Jun Yang
author: E. S. W. Shiu
published in: European Actuarial Journal
publication date: 2021-12-17T00:00:00Z
Mathematics Subject Classification ID: 91G05
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 7447472
zbMATH Keywords: Esscher transform
zbMATH Keywords: exponential tilting
zbMATH Keywords: adjustment coefficient
zbMATH Keywords: barrier options
zbMATH Keywords: Black-Scholes option pricing
zbMATH Keywords: adjusted payoff
MaRDI profile type: Publication
full work available at URL: s13385-021-00266-1
OpenAlex ID: W3133245455
cites work: The pricing of options and corporate liabilities
cites work: PUT‐CALL SYMMETRY: EXTENSIONS AND APPLICATIONS
cites work: Actuarial bridges to dynamic hedging and option pricing
cites work: Barrier options and their static hedges: simple derivations and extensions
cites work: Stochastic calculus for finance. II: Continuous-time models.
DOI: 10.1007/S13385-021-00266-1
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description: scientific article; zbMATH DE number 7447472