Esscher transforms and consumption-based models
From MaRDI portal
Publication:659151
DOI10.1016/j.insmatheco.2009.08.001zbMath1231.91423OpenAlexW1984392265MaRDI QIDQ659151
Robert J. Elliott, Tak Kuen Siu, Alexandru M. Badescu
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.08.001
Euler equationRadon-Nikodym derivativeutility functionEsscher transformstochastic discount factorconsumption-based modelEsscher-Girsanov transformexponential affine form
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