Pages that link to "Item:Q1424691"
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The following pages link to The cumulant process and Esscher's change of measure (Q1424691):
Displayed 28 items.
- Reviewing alternative characterizations of Meixner process (Q431510) (← links)
- Optimal martingale measures for defaultable assets (Q436296) (← links)
- On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps (Q535466) (← links)
- A characterization of the martingale property of exponentially affine processes (Q550153) (← links)
- On the martingale property of certain local martingales (Q664349) (← links)
- The quintessential option pricing formula under Lévy processes (Q735135) (← links)
- Option pricing for log-symmetric distributions of returns (Q835680) (← links)
- On exponential local martingales associated with strong Markov continuous local martingales (Q841482) (← links)
- The minimal entropy martingale measures for exponential additive processes (Q841854) (← links)
- Evaluation of the MEMM, parameter estimation and option pricing for geometric Lévy processes (Q841858) (← links)
- On the duality principle in option pricing: semimartingale setting (Q928504) (← links)
- On option pricing under a completely random measure via a generalized Esscher transform (Q938038) (← links)
- Esscher transform and the duality principle for multidimensional semimartingales (Q983888) (← links)
- Variance-optimal hedging for processes with stationary independent increments (Q997954) (← links)
- A complete explicit solution to the log-optimal portfolio problem. (Q1413691) (← links)
- The finiteness of moments of a stochastic exponential. (Q1423120) (← links)
- On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps (Q2389225) (← links)
- Equivalent and absolutely continuous measure changes for jump-diffusion processes (Q2572390) (← links)
- A PDE approach to jump-diffusions (Q2994851) (← links)
- Pricing multivariate options under stochastic volatility lévy processes (Q3020617) (← links)
- Martingale Representation and Admissible Portfolio Process with Regime Switching (Q3081441) (← links)
- The Risk Premium and the Esscher Transform in Power Markets (Q3119080) (← links)
- Pricing and capital requirements for with profit contracts: modelling considerations (Q3650962) (← links)
- The Lévy Swap Market Model (Q5297934) (← links)
- On the implicit Black–Scholes formula (Q5451162) (← links)
- Esscher transforms and the minimal entropy martingale measure for exponential Lévy models (Q5484637) (← links)
- OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING (Q5487827) (← links)
- SYMMETRIES IN LÉVY TERM STRUCTURE MODELS (Q5487833) (← links)