Normalized Exponential Tilting
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A Multivariate Extension of Equilibrium Pricing Transforms: The Multivariate Esscher and Wang Transforms for Pricing Financial and Insurance Risks
- Coherent measures of risk
- Equilibrium Pricing Transforms: New Results Using Buhlmann’s 1980 Economic Model
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- MARTINGALE APPROACH TO PRICING PERPETUAL AMERICAN OPTIONS ON TWO STOCKS
- Martingales and arbitrage in multiperiod securities markets
- The pricing of options and corporate liabilities
Cited in
(13)- Pricing and securitization of multi-country longevity risk with mortality dependence
- Pricing extreme mortality risk in the wake of the COVID-19 pandemic
- Weighted Pricing Functionals With Applications to Insurance
- Discussion on “A General Semi-Markov Model for Coupled Lifetimes,” by Min Ji and Rui Zhou, Volume 23(1)
- Pricing longevity-linked securities in the presence of mortality trend changes
- Agricultural Insurance Ratemaking: Development of a New Premium Principle
- A general class of distortion operators for pricing contingent claims with applications to CAT bonds
- A General Semi-Markov Model for Coupled Lifetimes
- A method for determining risk aversion functions from uncertain market prices of risk
- A note on the connection between the Esscher-Girsanov transform and the Wang transform
- Max-Linear Competing Factor Models
- A theory of multivariate stress testing
- Weighted risk capital allocations
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