State Price Density, Esscher Transforms, and Pricing Options on Stocks, Bonds, and Foreign Exchange Rates

DOI10.1080/10920277.2001.10596002zbMath1083.62548OpenAlexW2141808728MaRDI QIDQ5718223

Yong Yao

Publication date: 13 January 2006

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

Full work available at URL: https://doi.org/10.1080/10920277.2001.10596002

Mathematics Subject Classification ID

Related Items (9)

Econometric specification of stochastic discount factor models ⋮ Randomised mixture models for pricing kernels ⋮ A joint stock and bond market based on the hyperbolic Gaussian model ⋮ Exponential change of measure applied to term structures of interest rates and exchange rates ⋮ Moment generating function approach to pricing interest rate and foreign exchange rate claims. ⋮ Is the home equity conversion mortgage in the United States sustainable? Evidence from pricing mortgage insurance premiums and non-recourse provisions using the conditional Esscher transform ⋮ Option pricing and Esscher transform under regime switching ⋮ On option pricing under a completely random measure via a generalized Esscher transform ⋮ OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING

Cites Work

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