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Actuarial transform pricing
Ruban, Oleg; Vitiello, Luiz; Poon, Ser-Huang - 2010
This article studies four transform pricing methods in the context of general equilibrium (GE) framework. The four … methods, viz. the Esscher transform, indifference pricing, the Wang transform, and the standard deviation loading, are popular … among actuarial literature and practice. The transform pricing methods offer a convenient solution to contingent claim …
Persistent link: https://www.econbiz.de/10008987668
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Actuarial Transform Pricing
Ruban, Oleg A. - 2010
This article studies four transform pricing methods in the context of general equilibrium (GE) framework. The four … methods, viz. the Esscher transform, indifference pricing, the Wang transform, and the standard deviation loading, are popular … among actuarial literature and practice. The transform pricing methods offer a convenient solution to contingent claim …
Persistent link: https://www.econbiz.de/10013148085
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Actuarial Transform Pricing
Ruban, Oleg A.; Vitiello, Luiz; Poon, Ser-Huang - 2010
This article studies four transform pricing methods in the context of general equilbrium (GE) framework. The four … methods, viz. the Esscher transform, indifference pricing, the Wang transform, and the standard deviation loading, are popular … among actuarial literature and practice. The transform pricing methods offer a convenient solution to contingent claim …
Persistent link: https://www.econbiz.de/10014196557
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Modeling and Explaining the Dynamics of European Union Allowance Prices at High-Frequency
Conrad, Christian; Rittler, Daniel; Rotfuß, Waldemar - Alfred-Weber-Institut für Sozial- und …; … - 2010
In this paper we model the adjustment process of European Union Allowance(EUA) prices to the releases of announcements at high-frequency controlling forintraday periodicity, volatility clustering and volatility persistence. We ¯nd thatthe high-frequency EUA price dynamics are very well captured...
Persistent link: https://www.econbiz.de/10009249002
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Empirical Pricing Kernels and Investor Preferences
Detlefsen, Kai; Härdle, Wolfgang; Moro, Rouslan - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007
This paper analyzes empirical market utility functions and pricing kernelsderived from the DAX and DAX option data for …
Persistent link: https://www.econbiz.de/10005861046
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Multiple Trees Subject to Event Risk
Porchia, Paolo; Trojani, Fabio - National Centre of Competence in ResearchFinancial … - 2009
We study an equilibrium asset pricing model with several Lucas (1978) trees subject toevent risk, that is, the …
Persistent link: https://www.econbiz.de/10005868703
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Modeling Non-Monotone Risk Aversion Using SAHARA Utility Functions
Chen, An - 2011
pricing in incomplete markets …
Persistent link: https://www.econbiz.de/10013133906
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Modeling Non-Monotone Risk Aversion Using SAHARA Utility Functions
Chen, An - 2011
indifference pricing in incomplete markets …
Persistent link: https://www.econbiz.de/10013123739
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A Partial Equilibrium Model of Option Markets
Leisen, Dietmar P.J.; Judd, Kenneth L. - Society for Computational Economics - SCE - 2001
equilibrium allocations in options. Agents derive financial and non-tradeable income over time; they can only partially offset the …
Persistent link: https://www.econbiz.de/10005345628
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Hedging American contingent claims with constrained portfolios
Karatzas, Ioannis; (*), S. G. Kou - In: Finance and Stochastics 2 (1998) 3, pp. 215-258
The valuation theory for American Contingent Claims, due to Bensoussan (1984) and Karatzas (1988), is extended to deal with constraints on portfolio choice, including incomplete markets and borrowing/short-selling constraints, or with different interest rates for borrowing and lending. In the...
Persistent link: https://www.econbiz.de/10005390719