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Normalized Exponential Tilting
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
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  • 1991Brownian motion and stochastic calculus2,089 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 1995Option pricing by Esscher transforms.651 cited
  • 2000A Class of Distortion Operators for Pricing Financial and Insurance Risks650 cited
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  • 1980An Economic Premium Principle332 cited
  • 2002A Universal Framework for Pricing Financial and Insurance Risks257 cited
  • 2007Actuarial risk measures for financial derivative pricing81 cited
  • 1996MARTINGALE APPROACH TO PRICING PERPETUAL AMERICAN OPTIONS ON TWO STOCKS77 cited
  • 2003Equilibrium Pricing Transforms: New Results Using Buhlmann’s 1980 Economic Model

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  • 2012Pricing Mortality Securities With Correlated Mortality Indexes42 cited