Esscher Transform

Siu, T. K. (2010). Esscher Transform. Encyclopedia of Quantitative Finance.

Type

Reference work

Intellectual base

Reference work

Year

2010

DOI

10.1002/9780470061602.eqf21024

Link

https://doi.org/10.1002/9780470061602.eqf21024

Cited by

1 citation across 1 artifact.

Domain-specific

• Esscher transform
  • Dynamic conditional Esscher transforms require filtration-specific definitions beyond the static formula.

Verification

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Registry ID ref:8f371874b3a0 · see in the full table