Abstract

The price of a financial asset can be conceived as the risk-neutral expectation of its random payoff. When the payoff has an exponential form as well as known distribution, the moment generating function and its analytical counterpart (the Laplace transform) become an important instrument for calculation purposes. This article shows the effectiveness of the Laplace technique in pricing options in the classic Black Scholes (1973) setting. In particular, options endowed with the "bull-bear" clause are priced.
Lingua originaleEnglish
pagine (da-a)55-64
Numero di pagine10
RivistaGIORNALE DELL'ISTITUTO ITALIANO DEGLI ATTUARI
VolumeLXI
Stato di pubblicazionePubblicato - 1998

Keywords

  • Moment generating function
  • asset pricing

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