Advanced Search

Enter the criteria below to perform an advanced search. Entering more criteria narrows your search; entering less criteria broadens your search. To browse SOA content, visit Browse by Topic or Publication Browse.

Find results with ALL of the words:

Find results with the EXACT phrase:

Find results WITHOUT the words:

Find results by Date:

From To

Find results for a specific AUTHOR:

Enter at least 2 characters of the author's last name.

{{ results.start }} - {{ results.end }} of {{ results.hits }} Authors Found prev | next

	Author
Search	{{ authorName }}

1 - 1 of 1 results (0.24 seconds)

Sort By:

Option Pricing by Esscher Transforms

Option Pricing by Esscher Transforms This paper shows that the Esscher transform is also an efficient technique for valuing derivative securities if the logarithms of the prices of the primitive ...
View Description

Description: This paper shows that the Esscher transform is also an efficient technique for valuing derivative securities if the logarithms of the prices of the primitive securities are governed by certain stochastic processes with stationary and independent increments. Two applications are presented, the first for valuing a European call option and the second for pricing derivative securities of multiple risky assets.
Hide
- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods

Per Page:

Date

Content Type

Author

File Type

Site

Topic

Competency

Advanced Search

Option Pricing by Esscher Transforms