Equilibrium Pricing Transforms: New Results Using Buhlmann’s 1980 Economic Model
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Publication:4661673
DOI10.2143/AST.33.1.1039zbMath1098.91551OpenAlexW4243947165MaRDI QIDQ4661673
Publication date: 30 March 2005
Published in: ASTIN Bulletin (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2143/ast.33.1.1039
exponential tiltingEsscher transformequilibrium pricingWang transformdistorted probabiltiyoptimal exchange
Applications of statistics to actuarial sciences and financial mathematics (62P05) Characteristic functions; other transforms (60E10) Characterization and structure theory of statistical distributions (62E10) General equilibrium theory (91B50)
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