Actuarial transform pricing
Year of publication: |
2010
|
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Authors: | Ruban, Oleg ; Vitiello, Luiz ; Poon, Ser-Huang |
Publisher: |
Manchester : The University of Manchester, Manchester Business School |
Subject: | Esscher transform | indifference pricing | Wang transform | standard deviation loading |
Series: | |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 656912847 [GVK] hdl:10419/50710 [Handle] |
Classification: | D52 - Incomplete Markets ; G13 - Contingent Pricing; Futures Pricing ; C22 - Time-Series Models |
Source: |
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