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  • Search: subject:"Esscher transform"
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Year of publication
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
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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)
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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
All
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
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ECONIS (ZBW) 70 RePEc 41 EconStor 5 BASE 1 Other ZBW resources 1
Showing 51 - 60 of 118
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Pricing derivatives with modeling CO2 emission allowance using a regime-switching jump diffusion model : with regime-switching risk premium
Li, Chang-Yi; Chen, Son-nan; Lin, Shih-kuei - In: The European journal of finance 22 (2016) 10/12, pp. 887-908
Persistent link: https://www.econbiz.de/10011715220
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Pricing currency options under double exponential jump diffusion in a Markov-modulated HJM economy
Chiang, Mi-Hsiu; Li, Chang-Yi; Chen, Son-nan - In: Review of quantitative finance and accounting 46 (2016) 3, pp. 459-482
Persistent link: https://www.econbiz.de/10011595469
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Pricing annuity guarantees under a double regime-switching model
Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming - In: Insurance 62 (2015), pp. 62-78
Persistent link: https://www.econbiz.de/10011312087
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A Dupire equation for a regime-switching model
Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen - In: International journal of theoretical and applied finance 18 (2015) 4, pp. 1-13
Persistent link: https://www.econbiz.de/10011403770
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Non-Gaussian GARCH option pricing models and their diffusion limits
Badescu, Alexandru; Elliott, Robert J.; Ortega, Juan-Pablo - In: European journal of operational research : EJOR 247 (2015) 3, pp. 820-830
Persistent link: https://www.econbiz.de/10011386309
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Geometric stopping of a random walk and its applications to valuing equity-linked death benefits
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang - In: Insurance 64 (2015), pp. 313-325
Persistent link: https://www.econbiz.de/10011398088
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State-dependent jump risks for American gold futures option pricing
Lian, Yu-Min; Liao, Szu-Lang; Chen, Jun-Home - In: The North American journal of economics and finance : a … 33 (2015), pp. 115-133
Persistent link: https://www.econbiz.de/10011534881
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Asset pricing using trading volumes in a hidden regime-switching environment
Elliott, Robert J.; Siu, Tak Kuen - In: Asia-Pacific financial markets 22 (2015) 2, pp. 133-149
Persistent link: https://www.econbiz.de/10011377522
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Cost-efficiency in multivariate Lévy models
Ludger, Rüschendorf; Viktor, Wolf - In: Dependence Modeling 3 (2015) 1, pp. 16-16
In this paper we determine lowest cost strategies for given payoff distributions called cost-efficient strategies in multivariate exponential Lévy models where the pricing is based on the multivariate Esscher martingale measure. This multivariate framework allows to deal with dependent price...
Persistent link: https://www.econbiz.de/10011261888
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Asset Pricing Using Trading Volumes in a Hidden Regime-Switching Environment
Elliott, Robert; Siu, Tak - In: Asia-Pacific Financial Markets 22 (2015) 2, pp. 133-149
filtered estimates. We adopt the Esscher transform to select an equivalent martingale measure for pricing and derive a partial …
Persistent link: https://www.econbiz.de/10011241980
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