On option pricing under a completely random measure via a generalized Esscher transform
type: Item
instance of: scholarly article
title: On option pricing under a completely random measure via a generalized Esscher transform
zbMATH Open document ID: 1140.91400
author: John W. Lau
author: Tak Kuen Siu
published in: Insurance Mathematics \& Economics
publication date: 2008-08-18T00:00:00Z
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 5312901
zbMATH Keywords: option pricing
zbMATH Keywords: kernel-biased completely random measures
zbMATH Keywords: generalized gamma processes
zbMATH Keywords: Esscher transform
zbMATH Keywords: Laplace functionals
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2008.03.006
OpenAlex ID: W2042627825
cites work: On the fundamental theorem of asset pricing with an infinite state space
cites work: The pricing of options and corporate liabilities
cites work: Generalized Gamma measures and shot-noise Cox processes
cites work: Q4221330
cites work: Pricing contingent claims on stocks driven by Lévy processes
cites work: Q4218383
cites work: A general version of the fundamental theorem of asset pricing
cites work: A Bayesian nonparametric approach to reliability
cites work: Option pricing for pure jump processes with Markov switching compensators
cites work: OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING
cites work: A Bayesian analysis of some nonparametric problems
cites work: Q3974816
cites work: Q5637709
cites work: Actuarial bridges to dynamic hedging and option pricing
cites work: A comonotonic image of independence for additive risk measures
cites work: Actuarial risk measures for financial derivative pricing
cites work: Martingales and arbitrage in multiperiod securities markets
cites work: Martingales and stochastic integrals in the theory of continuous trading
cites work: A stochastic calculus model of continuous trading: Complete markets
cites work: Survival models for heterogeneous populations derived from stable distributions
cites work: Gibbs Sampling Methods for Stick-Breaking Priors
cites work: Q4450681
cites work: Q3580431
cites work: Q4856610
cites work: Bayesian Poisson process partition calculus with an application to Bayesian Lévy moving averages
cites work: Poisson calculus for spatial neutral to the right processes
cites work: The cumulant process and Esscher's change of measure
cites work: Bayesian nonparametric statistical inference for Poisson point processes
cites work: On a class of Bayesian nonparametric estimates: I. Density estimates
cites work: On a class of Bayesian nonparametric estimates. II: Hazard rate estimates
cites work: Q5715915
cites work: Estimating normal means with a conjugate style dirichlet process prior
cites work: Q4905685
cites work: Option pricing when underlying stock returns are discontinuous
cites work: The two-parameter Poisson-Dirichlet distribution derived from a stable subordinator
cites work: Q4213180
cites work: A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
cites work: Approximation pricing and the variance-optimal martingale measure
cites work: Q4220653
cites work: Q5715975
cites work: Equilibrium Pricing Transforms: New Results Using Buhlmann’s 1980 Economic Model
cites work: State Price Density, Esscher Transforms, and Pricing Options on Stocks, Bonds, and Foreign Exchange Rates
cites work: Q4872035
DOI: 10.1016/J.INSMATHECO.2008.03.006
description: scientific article; zbMATH DE number 5312901