Esscher transforms and consumption-based models

DOI10.1016/J.INSMATHECO.2009.08.001zbMATH Open1231.91423OpenAlexW1984392265MaRDI QIDQ659151FDOQ659151

Robert J. Elliott, Alexandru Badescu, Tak Kuen Siu

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

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zbMATH Keywords

Euler equationEsscher transformstochastic discount factorRadon-Nikodym derivativeutility functionconsumption-based modelEsscher-Girsanov transformexponential affine form

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Econometric specification of stochastic discount factor models
• A theory of the term structure of interest rates
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• An Intertemporal Capital Asset Pricing Model
• Martingales and arbitrage in multiperiod securities markets
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• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
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Cited In (12)

• European option pricing with market frictions, regime switches and model uncertainty
• Equilibrium Pricing Transforms: New Results Using Buhlmann’s 1980 Economic Model
• Analytical pricing of vulnerable options under a generalized jump-diffusion model
• Pricing compound Poisson processes with the Farlie-Gumbel-Morgenstern dependence structure
• Option valuation with IG-GARCH model and a U-shaped pricing kernel
• A note on the connection between the Esscher-Girsanov transform and the Wang transform
• A hidden Markov regime-switching model for option valuation
• Title not available (Why is that?)
• 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
• The minimal entropy martingale measure in a market of traded financial and actuarial risks
• Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model

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