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A Multivariate Extension of Equilibrium Pricing Transforms: The Multivariate Esscher and Wang Transforms for Pricing Financial and Insurance Risks
15 references·1 citing·36 second hop
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1999An Introduction to Copulas7,743 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1995Option pricing by Esscher transforms.651 cited
  • 2000A Class of Distortion Operators for Pricing Financial and Insurance Risks650 cited
  • 1997Introduction to Mathematical Finance: Discrete Time Models425 cited
  • 1995Saddlepoint Approximations400 cited
  • 1980An Economic Premium Principle332 cited
  • 2002A Universal Framework for Pricing Financial and Insurance Risks257 cited
  • 2002Stochastic Processes with Applications to Finance71 cited
  • 2016Stochastic Processes with Applications to Finance66 cited
  • 2003Equilibrium Pricing Transforms: New Results Using Buhlmann’s 1980 Economic Model61 cited
  • 1996PORTFOLIO SELECTION PROBLEMS VIA THE BIVARIATE CHARACTERIZATION OF STOCHASTIC DOMINANCE RELATIONS157 cited
  • 2007Normalized Exponential Tilting43 cited
  • 2001Pricing Equity Swaps in a Stochastic Interest Rate Economy34 cited

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On the distortion of a copula and its margins
38 cited