Esscher transforms and consumption-based models

Author:

Badescu Alex,Elliott Robert J.,Siu Tak Kuen

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference52 articles.

1. GARCH option pricing: A semiparametric approach;Badescu;Insurance: Mathematics and Economics,2008

2. Option valuation with normal mixture GARCH models;Badescu;Studies in Nonlinear Dynamics & Econometrics,2008

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4. Econometric asset pricing modelling;Bertholon;Journal of Financial Econometrics,2008

5. The pricing of options and corporate liabilities;Black;Journal of Political Economy,1973

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5. Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model;Discrete & Continuous Dynamical Systems - B;2017

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