Esscher transforms and consumption-based models
- 1 December 2009
- journal article
- Published by Elsevier BV in Insurance: Mathematics and Economics
- Vol. 45 (3), 337-347
- https://doi.org/10.1016/j.insmatheco.2009.08.001
Abstract
No abstract availableKeywords
This publication has 44 references indexed in Scilit:
- Esscher TransformPublished by Wiley ,2010
- Option Valuation with Conditional Heteroskedasticity and Non-NormalitySSRN Electronic Journal, 2009
- Econometric Asset Pricing ModellingJournal of Financial Econometrics, 2008
- Option pricing and Esscher transform under regime switchingAnnals of Finance, 2005
- Risk‐Neutral Parameter Shifts and Derivatives Pricing in Discrete TimeThe Journal of Finance, 2004
- A Class of Distortion Operators for Pricing Financial and Insurance RisksJournal of Risk and Insurance, 2000
- Actuarial versus Financial Pricing of InsuranceThe Journal of Risk Finance, 2000
- The Consumption-Based Capital Asset Pricing ModelEconometrica, 1989
- The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing ModelsEconometrica, 1987
- A Simple Econometric Approach for Utility-Based Asset Pricing ModelsThe Journal of Finance, 1985