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Option Pricing by Esscher Transforms
46 OPTION PRICING BY ESSCHER TRANSFORMS HANS U. GERBER AND ELIAS S.W. SHIU ABSTRACT The Esscher ... interest is constant and denote it by ~. For t->0, let S~(t), Sz(t) . . . . . Sn(t) denote the prices of ...- 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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Evaluation of the Rollover Option
an n-year GIC or zero-coupon bond be denoted as S o. Assume that the customer's old GIC will mature ... n-year GIC or zero-coupon bond at time t be denoted by S t, which is a random variable as viewed from time ...- Authors: Elias Shiu
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Investments