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.
|Numero di pagine||10|
|Rivista||GIORNALE DELL'ISTITUTO ITALIANO DEGLI ATTUARI|
|Stato di pubblicazione||Pubblicato - 1998|
- Moment generating function
- asset pricing