Option Pricing by Esscher Transforms

Gerber, H. U., & Shiu, E. S. W. (1994). Option Pricing by Esscher Transforms. Transactions of the Society of Actuaries, 99-191.

Type

Journal article

Intellectual base

Primary research

Year

1994

Link

https://pages.stern.nyu.edu/~dbackus/Disasters/Gerber_Shiu.pdf

Cited by

1 citation across 1 artifact.

Domain-specific

• Esscher transform
  • In actuarial and financial applications, a parameter may be chosen to match a moment or martingale condition, but existence and economic justification are separate.

Verification

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Registry ID ref:9a9a76473bca · see in the full table