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Option Pricing by Esscher Transforms
Option Pricing by Esscher Transforms This paper shows that the Esscher transform is an efficient ... bottom of page 103. Back and Pliska consider the care for which the state space is infinite. They remark ...Description: This paper shows that the Esscher transform is an efficient technique for valuing derivative securities if the logarithms of the prices of the primitive securities are governed by certain stochastic processes with stationary and independent increments. From the Transactions of Society of Actuaries 1994, Vol. 46.
Hide- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Investments