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Volumn 11, Issue 3, 2007, Pages 89-99

Normalized Exponential Tilting: Pricing and Measuring Multivariate Risks

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EID: 51649109183     PISSN: 10920277     EISSN: None     Source Type: Journal    
DOI: 10.1080/10920277.2007.10597468     Document Type: Article
Times cited : (25)

References (15)
  • 3
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    • An Economic Premium Principle
    • Buhlmann, H. 1980. An Economic Premium Principle. ASTIN Bulletin 11: 52-60.
    • (1980) ASTIN Bulletin , vol.11 , pp. 52-60
    • Buhlmann, H.1
  • 4
    • 77955169550 scopus 로고    scopus 로고
    • Distortion Risk Measures
    • Dowd, K. 2005. Distortion Risk Measures. Financial Engineering News, www.fenews.com/fen44/risk-reward/riskreward.htm.
    • (2005) Financial Engineering News
    • Dowd, K.1
  • 7
    • 0030556620 scopus 로고    scopus 로고
    • Martingale Approach to Pricing Perpetual American Options on Two Stocks
    • Gerber, Hans U., and Elias S. W. Shiu. 1996. Martingale Approach to Pricing Perpetual American Options on Two Stocks. Mathematical Finance 6: 303-22.
    • (1996) Mathematical Finance , vol.6 , pp. 303-322
    • Gerber, H.U.1    Shiu, E.S.W.2
  • 9
    • 38649141305 scopus 로고
    • Martingales and Arbitrage in Multiperiod Security Markets
    • Harrison, M., and D. Kreps. 1979. Martingales and Arbitrage in Multiperiod Security Markets. Journal of Economic Theory 20: 381-408.
    • (1979) Journal of Economic Theory , vol.20 , pp. 381-408
    • Harrison, M.1    Kreps, D.2
  • 10
    • 0037836721 scopus 로고
    • A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
    • Heston, S. L. 1993. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options. Review of Financial Studies 6: 327-43.
    • (1993) Review of Financial Studies , vol.6 , pp. 327-343
    • Heston, S.L.1
  • 12
    • 33845452296 scopus 로고    scopus 로고
    • A Multivariate Extension of Equilibrium Pricing Transforms: The Multivariate Esscher and Wang Transforms for Pricing Financial and Insurance Risks
    • Kijima, M. 2006. A Multivariate Extension of Equilibrium Pricing Transforms: The Multivariate Esscher and Wang Transforms for Pricing Financial and Insurance Risks. ASTIN Bulletin 36(1): 269-83.
    • (2006) ASTIN Bulletin , vol.36 , Issue.1 , pp. 269-283
    • Kijima, M.1
  • 14
    • 0039973870 scopus 로고    scopus 로고
    • A Class of Distortion Operators for Pricing Financial and Insurance Risks
    • March
    • Wang, S. 2000. A Class of Distortion Operators for Pricing Financial and Insurance Risks. Journal of Risk and Insurance 67(March): 15-36.
    • (2000) Journal of Risk and Insurance , vol.67 , pp. 15-36
    • Wang, S.1
  • 15
    • 85011436963 scopus 로고    scopus 로고
    • Equilibrium Pricing Transforms: New Results Using Buhlmann’s 1980 Economic Model
    • May
    • Wang, S. 2003. Equilibrium Pricing Transforms: New Results Using Buhlmann’s 1980 Economic Model. ASTIN Bulletin 33(May): 57-73.
    • (2003) ASTIN Bulletin , vol.33 , pp. 57-73
    • Wang, S.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.