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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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A Proof Of The Schuette-Nesbitt Formula For Dependent Events
A Proof Of The Schuette-Nesbitt Formula For Dependent Events This is Mr. Gerber's proof ... Formula For Dependent Events This is Mr. Gerber's proof of the Schuette-Nesbitt formula. N/A; 18963 ...- Authors: Hans U Gerber
- Date: Jan 1979
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Actuarial Research Clearing House
- Topics: Actuarial Profession>Professional associations