On Esscher Transforms in Discrete Finance Models

Link
https://www.casact.org/sites/default/files/database/astin_vol28no2_171.pdf
Volume
28:2
Page
171-186
Year
1998
Categories
Actuarial Applications and Methodologies
Investments
Arbitrage Pricing Theory (APT);
Financial and Statistical Methods
Statistical Models and Methods
Time Series
Actuarial Applications and Methodologies
Ratemaking
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Publications
ASTIN Bulletin
Authors
Hans Bühlmann
Freddy Delbaen
Paul Embrechts
Albert N Shiryaev