Esscher transforms and consumption-based models

DOI10.1016/J.INSMATHECO.2009.08.001MaRDI QIDQ659151zbMATH OpenOpenAlexFDO

Authors Robert J. Elliott, Tak Kuen Siu, Alexandru 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

consumption-based modelEsscher transformEsscher-Girsanov transformEuler equationexponential affine formRadon-Nikodym derivativestochastic discount factorutility function

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(17)

• Option valuation with IG-GARCH model and a U-shaped pricing kernel
• 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
• Pricing compound Poisson processes with the Farlie-Gumbel-Morgenstern dependence structure
• Pricing defaultable bonds in a Markov modulated market
• scientific article; zbMATH DE number 5008338 (Why is no real title available?)
• scientific article; zbMATH DE number 1234545 (Why is no real title available?)
• Equilibrium Pricing Transforms: New Results Using Buhlmann’s 1980 Economic Model
• European option pricing with market frictions, regime switches and model uncertainty
• 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 second-order Esscher martingale densities for continuous-time market models
• Experience rating of risk premium for Esscher premium principle
• Finite mixture models for option pricing: an application to Bitcoin options
• Actuarial risk measures for financial derivative pricing

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