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Option Pricing by Esscher Transforms
Option ... IV Option Pricing by Esscher Transforms Hans U. Gerber and Elias S.W. Shiu Abstract The Esscher ... fix), let h be a real number such that M(h) = S.~eh~f(x)'dx exists. As a function in x, f(x;h) ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods