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Option Pricing by Esscher Transforms
shows that the Esscher transform is an efficient technique for valuing derivative securities if the logarithms ... logarithms of the prices of the primitive securities are governed by certain stochastic processes with stationary ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Investments
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Two Enhancements to Investment-Year Allocations of Income
Enhancements to Investment-Year Allocations of Income In this paper, the author identifies two problems that ... with most versions of the investment-year method of allocating investment income. The author then focuses ...- Authors: Barry T Allen
- Date: Oct 1983
- Competency: External Forces & Industry Knowledge
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Investments