Normalized Exponential Tilting (Q5019747)

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scientific article; zbMATH DE number 7455092

Language	Label	Description	Also known as
English	Normalized Exponential Tilting	scientific article; zbMATH DE number 7455092

Statements

scholarly article

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Normalized Exponential Tilting (English)

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North American Actuarial Journal

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publication date

10 January 2022

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/10920277.2007.10597468

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Coherent Measures of Risk

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The Pricing of Options and Corporate Liabilities

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MARTINGALE APPROACH TO PRICING PERPETUAL AMERICAN OPTIONS ON TWO STOCKS

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Martingales and arbitrage in multiperiod securities markets

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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A Multivariate Extension of Equilibrium Pricing Transforms: The Multivariate Esscher and Wang Transforms for Pricing Financial and Insurance Risks

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Equilibrium Pricing Transforms: New Results Using Buhlmann’s 1980 Economic Model

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Identifiers

zbMATH Open document ID

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10.1080/10920277.2007.10597468

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:5019747

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