Esscher transforms and consumption-based models

DOI10.1016/j.insmatheco.2009.08.001zbMath1231.91423OpenAlexW1984392265MaRDI QIDQ659151

Robert J. Elliott, Tak Kuen Siu, Alexandru M. Badescu

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.08.001

zbMATH Keywords

Euler equationRadon-Nikodym derivativeutility functionEsscher transformstochastic discount factorconsumption-based modelEsscher-Girsanov transformexponential affine form

Mathematics Subject Classification ID

Related Items (10)

Pricing Defaultable Bonds in a Markov Modulated Market ⋮ Option valuation with IG-GARCH model and a U-shaped pricing kernel ⋮ European option pricing with market frictions, regime switches and model uncertainty ⋮ Pricing compound Poisson processes with the Farlie-Gumbel-Morgenstern dependence structure ⋮ 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 ⋮ A hidden Markov regime-switching model for option valuation ⋮ A note on the connection between the Esscher-Girsanov transform and the Wang transform ⋮ The minimal entropy martingale measure in a market of traded financial and actuarial risks ⋮ Analytical pricing of vulnerable options under a generalized jump-diffusion model ⋮ Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model

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