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Sentiment lost : the effect of projecting the empirical pricing kernel onto a smaller filtration set

Sala, Carlo; Barone-Adesi, Giovanni - 2015

martingale, as required by the theory, but a strict local martingale with consequences on the validity of the risk … filtration set so that an absolutely continuous strict local martingale, once projected on it, becomes continuous with jumps …

Persistent link: https://www.econbiz.de/10011506352

Equilibrium equity premium in a semi martingale market when jump amplitudes follow a binomial distribution

Mukupa, George M.; Offen, Elias R. - In: Journal of mathematical finance 8 (2018) 3, pp. 599-612

Persistent link: https://www.econbiz.de/10011968727

Long-term risk : a martingale approach

Qin, Likuan; Linetsky, Vadim - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 1, pp. 299-312

Persistent link: https://www.econbiz.de/10011738495

Option pricing when the regime-switching risk is priced

Siu, Tak Kuen; Yang, Hailiang; Lau, John W. - 2007

Persistent link: https://www.econbiz.de/10003647140

Optimal control strategies for the premium policy of an insurance firm with jump diffusion assets and stochastic interest rate

Guerdouh, Dalila; Khelfallah, Nabil; Vives, Josep - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-19

In this paper, we present a stochastic optimal control model to optimize an insurance firm problem in the case where its cash-balance process is assumed to be described by a stochastic differential equation driven by Teugels martingales. Noticing that the insurance firm is able to control its...

Persistent link: https://www.econbiz.de/10013165295