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Showing 1 to 3 of 3 for “"Esscher transform"”.
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Risk neutral measures and GARCH model calibration
… correcting martingale measure, the conditional Esscher transform and the second order Esscher transform as martingale measure candidates. All these methods lead to the respective risk neutral return dynamics. We empirically examine in-sample and out-ofsample performance of Gaussian-TGARCH and …
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Characterizations of and closed-form solutions for plain vanilla and exotic derivatives
… probability measure is defined through an Esscher transform. We are interested in the conditions under which the jump size distributions under the two probability measures fall into the same parametric class. We show that it is both necessary and sufficient for the jump size distribution to …
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Lévy Processes in Finance: Theory, Numerics, and Empirical Facts
… wird eine Charakterisierung der <br>Esscher-Transformation gegeben. Es wird eine effiziente Methode <br>vorgestellt, mit der man das Levy-Maß einer verallgemeinert <br>hyperbolischen Verteilung bestimmen kann. Als Korollar ergibt <br>sich hier eine Aussage über die Menge der …