On option pricing under a completely random measure via a generalized Esscher transform
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Cites work
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- A Bayesian analysis of some nonparametric problems
- A Bayesian nonparametric approach to reliability
- A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
- A comonotonic image of independence for additive risk measures
- A general version of the fundamental theorem of asset pricing
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- Actuarial risk measures for financial derivative pricing
- Approximation pricing and the variance-optimal martingale measure
- Bayesian Poisson process partition calculus with an application to Bayesian Lévy moving averages
- Bayesian nonparametric statistical inference for Poisson point processes
- Equilibrium Pricing Transforms: New Results Using Buhlmann’s 1980 Economic Model
- Estimating normal means with a conjugate style dirichlet process prior
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- On the fundamental theorem of asset pricing with an infinite state space
- Option pricing for pure jump processes with Markov switching compensators
- Option pricing when underlying stock returns are discontinuous
- Poisson calculus for spatial neutral to the right processes
- Pricing contingent claims on stocks driven by Lévy processes
- Some further developments for stick-breaking priors: finite and infinite clustering and classifica\-tion
- State Price Density, Esscher Transforms, and Pricing Options on Stocks, Bonds, and Foreign Exchange Rates
- Survival models for heterogeneous populations derived from stable distributions
- The cumulant process and Esscher's change of measure
- The pricing of options and corporate liabilities
- The two-parameter Poisson-Dirichlet distribution derived from a stable subordinator
Cited in
(6)- Exchange option pricing in jump-diffusion models based on Esscher transform
- Quanto option pricing with a jump diffusion process
- Innovation, growth and aggregate volatility from a Bayesian nonparametric perspective
- Bayesian Risk Measures for Derivatives via Random Esscher Transform
- A Bayesian nonparametric approach to modeling market share dynamics
- Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform
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