Esscher transforms and consumption-based models
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Cites work
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- A comonotonic image of independence for additive risk measures
- A stochastic calculus model of continuous trading: Complete markets
- A theory of the term structure of interest rates
- AN ECONOMIC PREMIUM PRINCIPLE IN A CONTINUOUS-TIME ECONOMY(Special Issue on Theory, Methodology and Applications in Financial Engneering)
- Actuarial risk measures for financial derivative pricing
- An Intertemporal Capital Asset Pricing Model
- An economic premium principle in a multiperiod economy.
- An extended set of risk neutral valuation relationships for the pricing of contingent claims
- An intertemporal asset pricing model with stochastic consumption and investment opportunities
- Asset Prices in an Exchange Economy
- Econometric specification of stochastic discount factor models
- Equilibrium Pricing Transforms: New Results Using Buhlmann’s 1980 Economic Model
- Fair valuation of participating policies with surrender options and regime switching
- GARCH option pricing: A semiparametric approach
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
- OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING
- On Esscher Transforms in Discrete Finance Models
- On the representation of additive principles of premium calculation
- Option pricing and Esscher transform under regime switching
- Option valuation with normal mixture GARCH models
- Pricing contingent claims on stocks driven by Lévy processes
- Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
- THE GARCH OPTION PRICING MODEL
- The Consumption-Based Capital Asset Pricing Model
- The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models
- The pricing of options and corporate liabilities
Cited in
(13)- European option pricing with market frictions, regime switches and model uncertainty
- Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model
- A note on the connection between the Esscher-Girsanov transform and the Wang transform
- The minimal entropy martingale measure in a market of traded financial and actuarial risks
- 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
- Pricing defaultable bonds in a Markov modulated market
- scientific article; zbMATH DE number 5008338 (Why is no real title available?)
- A hidden Markov regime-switching model for option valuation
- Analytical pricing of vulnerable options under a generalized jump-diffusion model
- Option valuation with IG-GARCH model and a U-shaped pricing kernel
- Actuarial risk measures for financial derivative pricing
- Pricing compound Poisson processes with the Farlie-Gumbel-Morgenstern dependence structure
- Equilibrium Pricing Transforms: New Results Using Buhlmann’s 1980 Economic Model
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