Search Results - subject:"Esscher transform"

Cabrera, Brenda López; Odening, Martin; Ritter, Matthias - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 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/10010603543

Fengler, Matthias; Melnikov, Alexander - In: Review of derivatives research 21 (2018) 3, pp. 277-305

Persistent link: https://www.econbiz.de/10012055743

De Diego, Sergio; Ferreira, Eva; Nualart, Eulàlia - In: The journal of computational finance 22 (2018) 1, pp. 79-105

Persistent link: https://www.econbiz.de/10011890181

Monfort, A.; Pegoraro, F. - Banque de France - 2012

Second-Order Esscher Transform. The log-pricing kernel is specified as a quadratic function of the factor and the associated …

Persistent link: https://www.econbiz.de/10010815981

Fengler, Matthias R.; Herwartz, Helmut; Werner, Christian - 2010

Persistent link: https://www.econbiz.de/10009240321

Ruban, Oleg; Vitiello, Luiz; Poon, Ser-Huang - 2010

methods, viz. the Esscher transform, indifference pricing, the Wang transform, and the standard deviation loading, are popular …

Persistent link: https://www.econbiz.de/10010277928

Asiimwe, Pious; Mahera, Charles Wilson; Menoukeu-Pamen, … - In: Asia-Pacific financial markets 23 (2016) 4, pp. 305-335

Persistent link: https://www.econbiz.de/10011619970

Lian, Yu-Min; Chen, Jun-Home; Liao, Szu-Lang - In: Finance research letters 16 (2016), pp. 208-219

Persistent link: https://www.econbiz.de/10011656179

Siu, Tak Kuen - In: Insurance 69 (2016), pp. 168-193

Persistent link: https://www.econbiz.de/10011530946

Rüschendorf, Ludger; Wolf, Viktor - In: Applied mathematical finance 23 (2016) 1/2, pp. 158-173

Persistent link: https://www.econbiz.de/10011547051

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