On the Distribution of Cash Flows Using Esscher Transforms
نویسندگان
چکیده
منابع مشابه
On the distribution of cash-flows using Esscher transforms
In their seminal paper, Gerber and Shiu (1994) introduced the concept of the Esscher transform for option pricing. As examples they considered the shifted Poisson process, the random walk, a shifted gamma process and a shifted inverse Gaussian process to describe the logarithm of the stock price. In the present paper it is shown how upper and lower bounds in convex order can be obtained when we...
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ژورنال
عنوان ژورنال: Journal of Risk and Insurance
سال: 2003
ISSN: 0022-4367,1539-6975
DOI: 10.1111/1539-6975.t01-1-00065