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Search: subject:"Esscher transform"
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Subject
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Esscher transform
84
Option pricing theory
59
Optionspreistheorie
59
Stochastic process
47
Stochastischer Prozess
47
Markov chain
23
Markov-Kette
20
Option trading
18
Optionsgeschäft
18
Volatility
18
Volatilität
18
Option pricing
14
Derivat
10
Derivative
10
ARCH model
9
ARCH-Modell
9
Hedging
9
Lévy process
9
Theorie
8
Theory
8
Currency derivative
7
Währungsderivat
7
Black-Scholes model
6
Esscher Transform
6
Estimation theory
6
Risiko
6
Schätztheorie
6
Black-Scholes-Modell
5
Brownian motion
5
CAPM
5
Comonotonicity
5
Exchange rate
5
Portfolio selection
5
Portfolio-Management
5
Reflection principle
5
Risk
5
Risk measures
5
Statistical distribution
5
Statistische Verteilung
5
Wechselkurs
5
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Online availability
All
Undetermined
70
Free
22
CC license
2
Type of publication
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Article
102
Book / Working Paper
16
Type of publication (narrower categories)
All
Article in journal
64
Aufsatz in Zeitschrift
64
Working Paper
8
Graue Literatur
6
Non-commercial literature
6
Arbeitspapier
5
Article
2
Hochschulschrift
1
technical-paper
1
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Language
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English
77
Undetermined
40
French
1
Author
All
Siu, Tak Kuen
15
Lee, Hangsuck
12
Elliott, Robert J.
10
Lian, Yu-Min
7
Chen, Jun-Home
6
Fard, Farzad Alavi
6
Chan, Leunglung
5
Liao, Szu-Lang
5
Song, Seongjoo
5
Elliott, Robert
4
Goovaerts, Marc J.
4
Ko, Bangwon
4
Lee, Gaeun
4
Lee, Minha
4
Odening, Martin
4
Ritter, Matthias
4
Tang, Qihe
4
Badescu, Alex
3
Chan, Wai-Sum
3
Doko Tchatoka, Firmin
3
Fengler, Matthias
3
Kaas, Rob
3
Kim, Young
3
Laeven, Roger J.A.
3
Li, Chang-Yi
3
Lin, Shih-kuei
3
López Cabrera, Brenda
3
Shen, Yang
3
Siu, Tak
3
Sriananthakumar, Sivagowry
3
Badescu, Alexandru
2
Chen, Son-nan
2
Chiang, Mi-Hsiu
2
ELLIOTT, ROBERT J.
2
Ha, Hongjun
2
Herwartz, Helmut
2
Kulperger, Reg
2
Küchler, Uwe
2
Lee, Jeong
2
Li, Johnny Siu-Hang
2
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Institution
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Banque de France
1
Institute of Economic Research, Kyoto University
1
School of Economics and Political Science, Universität St. Gallen
1
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
1
Tinbergen Institute
1
Tinbergen Instituut
1
World Scientific Publishing Co. Pte. Ltd.
1
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Published in...
All
Insurance
9
The North American journal of economics and finance : a journal of financial economics studies
9
International Journal of Theoretical and Applied Finance (IJTAF)
5
International journal of theoretical and applied finance
5
Annals of Finance
3
Asia-Pacific Financial Markets
3
Finance and Stochastics
3
Finance research letters
3
Insurance: Mathematics and Economics
3
Journal of Banking & Finance
3
Applied mathematical finance
2
Asia-Pacific financial markets
2
International review of economics & finance : IREF
2
Journal of Risk and Financial Management
2
Journal of mathematical finance
2
Journal of risk and financial management : JRFM
2
Managerial Finance
2
Quantitative finance
2
Review of derivatives research
2
Revista Brasileira de Finanças : RBFin
2
The European journal of finance
2
The journal of futures markets
2
Tinbergen Institute Discussion Papers
2
Annals of actuarial science
1
Annals of finance
1
Applied Mathematical Finance
1
Applied financial economics
1
Asia Pacific financial markets
1
Central European journal of operations research : CEJOR ; official journal of the Austrian, Croatian, Czech, Hungarian, Slovakian and Slovenian OR Societies
1
Computational Statistics
1
Computational economics
1
Decisions in Economics and Finance
1
Dependence Modeling
1
Discussion paper / The Pensions Institute, Cass Business School, City University
1
Discussion paper / Tinbergen Institute
1
Discussion paper / Universität Sankt Gallen, School of Economics and Political Science, Department of Economics
1
Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics
1
Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets
1
European journal of operational research : EJOR
1
Finance Research Letters
1
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Source
All
ECONIS (ZBW)
70
RePEc
41
EconStor
5
BASE
1
Other ZBW resources
1
Showing
31
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118
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31
Structural pricing of CoCos and deposit insurance with regime switching and jumps
Le Courtois, Olivier
;
Su, Xiaoshan
- In:
Asia Pacific financial markets
27
(
2020
)
4
,
pp. 477-520
Persistent link: https://www.econbiz.de/10012390326
Saved in:
32
Forward mortality rates in discrete time I : calibration and securities pricing
Hunt, Andrew
;
Blake, David
-
2015
Persistent link: https://www.econbiz.de/10011412905
Saved in:
33
Maximum entropy evaluation of asymptotic hedging error under a generalised jump-diffusion model
Fard, Farzad Alavi
;
Doko Tchatoka, Firmin
; …
-
2015
Persistent link: https://www.econbiz.de/10011502469
Saved in:
34
Buhlmann’s Economic Premium Principle in The Presence of Transaction Costs
Kijima, Masaaki
;
Tamura, Akihisa
-
Institute of Economic Research, Kyoto University
-
2014
the (multivariate)
Esscher
transform
within the framework under some assumptions. The result reveals that the
Esscher
…
transform
is an appropriate probability transform for the pricing of insurance risks even in the market with transaction costs. …
Persistent link: https://www.econbiz.de/10010860072
Saved in:
35
Generalizing the reflection principle of Brownian motion, and closed-form pricing of barrier options and autocallable investments
Lee, Hangsuck
;
Ahn, Soohan
;
Ko, Bangwon
- In:
The North American journal of economics and finance : a …
50
(
2019
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012203169
Saved in:
36
Markov modulated jump-diffusions for currency options when regime switching risk is priced
Liu, David
- In:
International journal of financial engineering
6
(
2019
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10012314539
Saved in:
37
Option pricing under regime-switching models : novel approaches removing path-dependence
Godin, Frédéric
;
Lai, Van Son
;
Trottier, Denis-Alexandre
- In:
Insurance
87
(
2019
),
pp. 130-142
Persistent link: https://www.econbiz.de/10012058933
Saved in:
38
Valuing step barrier options and their icicled variations
Lee, Hangsuck
;
Ko, Bangwon
;
Song, Seongjoo
- In:
The North American journal of economics and finance : a …
49
(
2019
),
pp. 396-411
Persistent link: https://www.econbiz.de/10012269361
Saved in:
39
Pricing rainfall derivatives at the CME
López Cabrera, Brenda
;
Odening, Martin
;
Ritter, Matthias
-
2013
Esscher
transform
, a wellknown tool in actuarial science. This approach is flexible enough to price any rainfall contract and …
Persistent link: https://www.econbiz.de/10010318766
Saved in:
40
La gestion du risque de longévité et évaluation de produits dérivés
Ai͏̈nou, Viou
-
2013
Persistent link: https://www.econbiz.de/10012229189
Saved in:
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