Keywords: تبدیل Esscher; primary 91G20; secondary 60G15; Autocallable product; EIA; Esscher transform; Icicled barrier option; Reflection principle;
مقالات ISI تبدیل Esscher (ترجمه نشده)
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Keywords: تبدیل Esscher; F31; G12; G13; G15; Currency option; Two-factor Markov-modulated stochastic volatility model with jumps; Markov-modulated Heath-Jarrow-Morton model; Esscher transform;
Keywords: تبدیل Esscher; Barrier option pricing; Markov-switching; Esscher transform; Monte-Carlo simulation
Keywords: تبدیل Esscher; G13; G22; C02; IM10; IE50; IM40; IB10; Equity-linked death benefits; Binomial and trinomial tree models; Random walk; Geometric stopping; Esscher transform;
Keywords: تبدیل Esscher; G13; G22; Equity-indexed annuity; Variable annuity; Regime-switching; Esscher transform; Fast Fourier transform;
Keywords: تبدیل Esscher; C13; C15; G12; G13State-dependent jump risk; American gold futures option; Merton measure; Esscher transform; Least-squares Monte Carlo method
Keywords: تبدیل Esscher; 60E07; 60G51; 60F05; 62L20; 65C05; 60H35Lévy processes; Esscher transform; Monte Carlo; Statistical Romberg; Variance reduction; Central limit theorems; CGMY model
Multivariate European option pricing in a Markov-modulated Lévy framework
Keywords: تبدیل Esscher; C02; G13; C63; D52; F31; Regime-switching; Esscher transform; Exchange options; Quanto options;
Pricing currency derivatives with Markov-modulated Lévy dynamics
Keywords: تبدیل Esscher; 91B70; 60H10; 60F25; Foreign exchange rate; Esscher transform; Risk-neutral measure; European call option; Lévy processes; Markov processes;
Valuation of quanto options in a Markovian regime-switching market: A Markov-modulated Gaussian HJM model
Keywords: تبدیل Esscher; C02; E43; G13; G15; HJM; Markov chain; Esscher transform; Quanto options;
Pricing participating products with Markov-modulated jump-diffusion process: An efficient numerical PIDE approach
Keywords: تبدیل Esscher; G13; G22; D52; Participating products; Generalized jump-diffusion model; Markov-switching compensator; Esscher transform; Reduction of dimensionality; Collocation method;
Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model
Keywords: تبدیل Esscher; Lévy process; Regime-switching; HJB equation; Stochastic differential game; Esscher transform; General equilibrium; Equivalent martingale measure;
Pricing rainfall futures at the CME
Keywords: تبدیل Esscher; G19; G29; G22; Q59; Weather derivatives; Precipitation; Esscher transform; Market price of risk;
When are path-dependent payoffs suboptimal?
Keywords: تبدیل Esscher; G11; G13; Path dependence; Optimal payoff; Risk aversion; Esscher transform;
Statistical analysis of model risk concerning temperature residuals and its impact on pricing weather derivatives
Keywords: تبدیل Esscher; G12; G22; C13; Weather derivatives; Levy models; Asymmetric ARCH; Esscher transform; Model risk;
Modeling investment guarantees in Japan: A risk-neutral GARCH approach
Keywords: تبدیل Esscher; G17; G22; Esscher transform; Investment guarantees; Variable annuities;
Ambiguity aversion and an intertemporal equilibrium model of catastrophe-linked securities pricing
Keywords: تبدیل Esscher; IM30; IM51; IE11; G12; G13; Ambiguity aversion; Catastrophe-linked securities; Esscher transform; Robust control theory; Gerber-Shiu penalty function;
Exponential change of measure applied to term structures of interest rates and exchange rates
Keywords: تبدیل Esscher; G12; 60H10; 44A10; 91B02; State-price deflator; Potential representation; Exponential change of measure; Esscher transform;
Decision principles derived from risk measures
Keywords: تبدیل Esscher; D81; G10; G20; 62P05; Risk measurement; Decision-making; Axiomatization; Measure of risk; Premium principles; Solvency capital principles; Risk transfer principles; Equivalent utility; Esscher transform; Exponential utility;
Markov-modulated jump-diffusions for currency option pricing
Keywords: تبدیل Esscher; C13; C15; F31; 60H15; Spot foreign exchange rate; Rare event; Time-inhomogeneity; Esscher transform; Currency option;
Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models
Keywords: تبدیل Esscher; Defective renewal equation; Compound geometric distribution; Ladder height; Lundberg's fundamental equation; Generalized adjustment coefficient; Cramer's asymptotic ruin formula; Esscher transform; Last interclaim time; NWU; NBU;
A hidden Markov regime-switching model for option valuation
Keywords: تبدیل Esscher; G13; G12; IM10; IE50; Option pricing; Regime-switching; Hidden Markov model; Esscher transform; Extended Girsanov principle; Filters and predictors;
The impact of monetary policy on oil process parameters and market expectations
Keywords: تبدیل Esscher; C22; E31; E52; Q41; Q43; Crude oil prices; Esscher transform; Inverse problem; Normal inverse Gaussian; Monetary policy;
Closed-form valuations of basket options using a multivariate normal inverse Gaussian model
Keywords: تبدیل Esscher; G13; G33; Normal inverse Gaussian; Basket option; Esscher transform; Time-changed Lévy process;
Esscher transforms and consumption-based models
Keywords: تبدیل Esscher; Esscher transform; Esscher-Girsanov transform; Consumption-based model; Stochastic discount factor; Exponential affine form; Euler equation; Radon-Nikodym derivative; Utility function;
On the asymptotic behaviour of Lévy processes, Part I: Subexponential and exponential processes
Keywords: تبدیل Esscher; primary, 60E07, 60G51, 60G70; secondary, 40E05, 44A10, 60F10CGMY process; Esscher transform; Exponential distribution; Extreme value theory; GH process; GZ process; Infinitely divisible distribution; Lévy process; Long-tailed distribution; Semi-heavy-tail
Actuarial risk measures for financial derivative pricing
Keywords: تبدیل Esscher; D81; G12; G13; 91B06; 91B28; 91B30; Derivative pricing; Incomplete markets; Stochastic ordering; Esscher transform; Girsanov's theorem; Comonotonicity; Equivalent martingale measure; Feynman-Kac integration;
Pricing currency options under two-factor Markov-modulated stochastic volatility models
Keywords: تبدیل Esscher; Currency options; Two-factor stochastic volatility; Regime switching; Esscher transform; Decomposition;
On option pricing under a completely random measure via a generalized Esscher transform
Keywords: تبدیل Esscher; G13; IM10; IE10; Option pricing; Kernel-biased completely random measures; Generalized Gamma processes; Esscher transform; Laplace functionals;
On approximations for two classes of Poisson mixtures
Keywords: تبدیل Esscher; primary, 60E05; 60F05; secondary, 60E07Bachelier's law; Esscher transform; Inverse Gaussian law; Laplace's method; Lévy stable law; Poisson mixture; Positive Linnik law; Second-order local approximation; Sichel's law; Unit variance function
Option pricing in a Garch model with tempered stable innovations
Keywords: تبدیل Esscher; C00; C63; C65; G12; G13; Option pricing; Garch; Tempered stable distribution; Semi-analytical valuation; Esscher transform;
A game theoretic approach to option valuation under Markovian regime-switching models
Keywords: تبدیل Esscher; C73; G13; G11; IM10; IM50; IE11; IE50; Option valuation; Regime switching; Stochastic differential game; Esscher transform; Jump-diffusion model; Power utility;
GARCH option pricing: A semiparametric approach
Keywords: تبدیل Esscher; Option pricing; GARCH; Extended Girsanov principle; Esscher transform; Kernel density estimator; Semiparametric pricing;
The minimal entropy measure and an Esscher transform in an incomplete market model
Keywords: تبدیل Esscher; Minimal entropy measure; Minimal martingale measure; Esscher transform
Insurance pricing in small size markets
Keywords: تبدیل Esscher; Wealth distribution; Non extensive statistical mechanics; Insurance pricing; Esscher transform;
Econometric specification of stochastic discount factor models
Keywords: تبدیل Esscher; C1; C5; G1; Derivative pricing; Esscher transform; Stochastic discount factor; Variance-gamma model; Semi-parametric pricing; Valorisation; Transformée d'Esscher; facteur d'escompte stochastique; Modèle variance-gamma; valorisation semi-paramétriqu
A Lévy process-based framework for the fair valuation of participating life insurance contracts
Keywords: تبدیل Esscher; G13; G23; IB10, IM10; Esscher transform; Fair value; Incomplete markets; Lévy processes; Participating contracts;