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Actuarial Approach to Option Pricing
1 Actuarial Approach to Option Pricing Hans U. Gerber Ecole des hautes 6tudes commerciales Universit6 ... stochastic processes. Forj = O, 1,2 . . . . . let S(j) denote the price of a stock a timej. Assume that ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Finance & Investments>Risk measurement - Finance & Investments
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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