On option pricing under a completely random measure via a generalized Esscher transform

DOI10.1016/J.INSMATHECO.2008.03.006zbMATH Open1140.91400OpenAlexW2042627825MaRDI QIDQ938038FDOQ938038

Publication date: 18 August 2008

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.03.006

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option pricing Esscher transform generalized gamma processes kernel-biased completely random measures Laplace functionals

Mathematics Subject Classification ID

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

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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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