Pages that link to "Item:Q659151"

The following pages link to Esscher transforms and consumption-based models (Q659151):

Displaying 10 items.

• Is the home equity conversion mortgage in the United States sustainable? Evidence from pricing mortgage insurance premiums and non-recourse provisions using the conditional Esscher transform (Q659238) (← links)
• A hidden Markov regime-switching model for option valuation (Q661263) (← links)
• A note on the connection between the Esscher-Girsanov transform and the Wang transform (Q661264) (← links)
• Option valuation with IG-GARCH model and a U-shaped pricing kernel (Q2153632) (← links)
• The minimal entropy martingale measure in a market of traded financial and actuarial risks (Q2255722) (← links)
• Analytical pricing of vulnerable options under a generalized jump-diffusion model (Q2260941) (← links)
• Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model (Q2356875) (← links)
• Pricing compound Poisson processes with the Farlie-Gumbel-Morgenstern dependence structure (Q2444715) (← links)
• Pricing Defaultable Bonds in a Markov Modulated Market (Q2893288) (← links)
• European option pricing with market frictions, regime switches and model uncertainty (Q6152695) (← links)