On esscher transforms in discrete finance models

ASTIN Bulletin

Volumn 28, Issue 2, 1998, Pages 171-186

  Bühlmann, Hans ^a   Delbaen, Freddy ^a   Embrechts, Paul ^a   Shiryaev, Albert N ^b  

^a ETH ZURICH   (Switzerland)

^b STEKLOV MATHEMATICAL INSTITUTE   (Russian Federation)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 85011457178     PISSN: 05150361     EISSN: 17831350     Source Type: Journal    
DOI: 10.2143/AST.28.2.519064     Document Type: Article

References (7)

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2. Bühlmann, H. (1984). The general economic premium principle. ASTIN Bulletin. 14, 13–21.
3. Duffie, D. (1996). Dynamic Asset Pricing Theory, 2nd edition, Princeton University Press.
4. Gerber, H.U. and Shiu, Elias S.W. (1994). Option pricing by Esscher transforms. Transactions of the Society of Actuaries, vol. XLVI, pp. 99–140.
5. Rogers, L.C.G. (1994). Equivalent martingale measures and no-arbitrage. Stochastics and Stochastics Reports. 51, 41–49.
6. Rogers, L.C.G. (1997). The potential approach to the term structure of interest rates and their foreign exchange rates. Mathematical Finance. 7, 157–176.
7. Schachermayer, W. (1992). A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time. Insurance: Mathematics and Economics. 11, 249–257.