Esscher transforms and consumption-based models
From MaRDI portal
Publication:659151
DOI10.1016/j.insmatheco.2009.08.001zbMath1231.91423MaRDI 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 equation; Radon-Nikodym derivative; utility function; Esscher transform; stochastic discount factor; consumption-based model; Esscher-Girsanov transform; exponential affine form
91G20: Derivative securities (option pricing, hedging, etc.)
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