Normalized Exponential Tilting

DOI10.1080/10920277.2007.10597468zbMath1480.91249OpenAlexW1569382980MaRDI QIDQ5019747

Shaun S. Wang

Publication date: 10 January 2022

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2007.10597468

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

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Cites Work

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• The Pricing of Options and Corporate Liabilities
• Martingales and arbitrage in multiperiod securities markets
• Coherent Measures of Risk
• A Multivariate Extension of Equilibrium Pricing Transforms: The Multivariate Esscher and Wang Transforms for Pricing Financial and Insurance Risks
• MARTINGALE APPROACH TO PRICING PERPETUAL AMERICAN OPTIONS ON TWO STOCKS
• Equilibrium Pricing Transforms: New Results Using Buhlmann’s 1980 Economic Model
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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