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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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Integer Functions and Life Contingencies
Contingencies In this paper, the author studies the ‘applications of the integer functions, ceiling and ... applying a theorem of the mean value type for integrals and uniform distribution of deaths assumptions ...- Authors: Cecil J Nesbitt, Elias Shiu, A D Wilkie
- Date: Oct 1982
- Competency: Professional Values>Practice expertise; Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Transactions of the SOA
- Topics: Actuarial Profession>Professional development