Asset pricing with Second-Order Esscher Transforms
نویسندگان
چکیده
منابع مشابه
A Multivariate Extension of Equilibrium Pricing Transforms: the Multivariate Esscher and Wang Transforms for Pricing Financial and Insurance Risks By
This paper proposes a multivariate extension of the equilibrium pricing transforms for pricing general financial and insurance risks. The multivariate Esscher and Wang transforms are derived from Bühlmann’s equilibrium pricing model (1980) under some assumptions on the aggregate risk. It is shown that the Esscher and Wang transforms coincide with each other when the underlying risks are normall...
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ژورنال
عنوان ژورنال: Journal of Banking & Finance
سال: 2012
ISSN: 0378-4266
DOI: 10.1016/j.jbankfin.2012.01.014