On Esscher Transforms in Discrete Finance Models

DOI10.2143/AST.28.2.519064zbMath1162.91367MaRDI QIDQ3632877

Freddy Delbaen, Albert N. Shiryaev, Hans Bühlmann, Paul Embrechts

Publication date: 15 June 2009

Published in: ASTIN Bulletin (Search for Journal in Brave)

Mathematics Subject Classification ID

Related Items (34)

Econometric specification of stochastic discount factor models ⋮ Option Valuation with a Discrete-Time Double Markovian Regime-Switching Model ⋮ Domains of attraction to Tweedie distributions ⋮ 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 ⋮ 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 ⋮ An economic premium principle in a multiperiod economy. ⋮ Option Pricing with Threshold Diffusion Processes ⋮ Pricing risky debts under a Markov-modulated Merton model with completely random measures ⋮ On valuing participating life insurance contracts with conditional heteroscedasticity ⋮ Esscher transforms and consumption-based models ⋮ A game theoretic approach to option valuation under Markovian regime-switching models ⋮ Decision principles derived from risk measures ⋮ Pricing exotic options under a high-order Markovian regime switching model ⋮ Arbitrage and deflators in illiquid markets ⋮ Option pricing and Esscher transform under regime switching ⋮ Risk-Based Capital Factor Determination With Jump Risk ⋮ State Price Density, Esscher Transforms, and Pricing Options on Stocks, Bonds, and Foreign Exchange Rates ⋮ NONLIFE INSURANCE PRICING: STATISTICAL MECHANICS VIEWPOINT ⋮ A Discrete Time Benchmark Approach for Insurance and Finance ⋮ Budget-constrained optimal insurance with belief heterogeneity ⋮ Asset pricing using trading volumes in a hidden regime-switching environment ⋮ Pricing Vulnerable Options Under a Markov-Modulated Regime Switching Model ⋮ Option pricing in regime-switching frameworks with the extended Girsanov principle ⋮ Pricing currency options under two-factor Markov-modulated stochastic volatility models ⋮ Market Consistent Pricing of Insurance Products ⋮ Risk margin for a non-life insurance run-off ⋮ Option pricing when the regime-switching risk is priced ⋮ 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

Cites Work

• The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
• Equilibrium in a Reinsurance Market

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