On Esscher Transforms in Discrete Finance Models
From MaRDI portal
Cites work
Cited in
(39)- Option pricing when the regime-switching risk is priced
- An economic premium principle in a multiperiod economy.
- Budget-constrained optimal insurance with belief heterogeneity
- Asset pricing using trading volumes in a hidden regime-switching environment
- Option pricing in regime-switching frameworks with the extended Girsanov principle
- On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps
- Indifference pricing for CRRA utilities
- Option pricing under regime-switching models: novel approaches removing path-dependence
- Pricing currency options under two-factor Markov-modulated stochastic volatility models
- Econometric specification of stochastic discount factor models
- Option valuation with a discrete-time double Markovian regime-switching model
- NONLIFE INSURANCE PRICING: STATISTICAL MECHANICS VIEWPOINT
- Pricing vulnerable options under a Markov-modulated regime switching model
- Risk margin for a non-life insurance run-off
- Market Consistent Pricing of Insurance Products
- A Discrete Time Benchmark Approach for Insurance and Finance
- Arbitrage and deflators in illiquid markets
- Option pricing under autoregressive random variance models
- The pricing of credit default swaps under a Markov-modulated Merton's structural model
- Market price of insurance risk implied by catastrophe derivatives
- Option pricing with threshold diffusion processes
- Risk-Based Capital Factor Determination With Jump Risk
- State Price Density, Esscher Transforms, and Pricing Options on Stocks, Bonds, and Foreign Exchange Rates
- European option pricing with market frictions, regime switches and model uncertainty
- Minimal Kullback–Leibler Divergence for Constrained Lévy–Itô Processes
- Exponential change of measure applied to term structures of interest rates and exchange rates
- Esscher transforms and consumption-based models
- Decision principles derived from risk measures
- Volatility-Related Exchange Traded Assets: An Econometric Investigation
- Option pricing and Esscher transform under regime switching
- Investor determined dividend policies
- The second-order Esscher martingale densities for continuous-time market models
- Finite mixture models for option pricing: an application to Bitcoin options
- A martingale representation for a European-style option under a semi-Markov-switching diffusion model
- Domains of attraction to Tweedie distributions
- Pricing risky debts under a Markov-modulated Merton model with completely random measures
- On valuing participating life insurance contracts with conditional heteroscedasticity
- A game theoretic approach to option valuation under Markovian regime-switching models
- Pricing exotic options under a high-order Markovian regime switching model
This page was built for publication: On Esscher Transforms in Discrete Finance Models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3632877)
