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Actuarial bridges to dynamic hedging and option pricing

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  • Gerber, Hans U.
  • Shiu, Elias S. W.
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    Bibliographic Info

    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 18 (1996)
    Issue (Month): 3 (November)
    Pages: 183-218

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    Handle: RePEc:eee:insuma:v:18:y:1996:i:3:p:183-218

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    Web page: http://www.elsevier.com/locate/inca/505554

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    1. Schachermayer, W., 1992. "A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 11(4), pages 249-257, December.
    2. Cox, John C. & Ross, Stephen A., 1976. "The valuation of options for alternative stochastic processes," Journal of Financial Economics, Elsevier, Elsevier, vol. 3(1-2), pages 145-166.
    3. Gerber, Hans U. & Shiu, Elias S. W., 1994. "From perpetual strangles to Russian options," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 15(2-3), pages 121-126, December.
    4. Back, Kerry & Pliska, Stanley R., 1991. "On the fundamental theorem of asset pricing with an infinite state space," Journal of Mathematical Economics, Elsevier, Elsevier, vol. 20(1), pages 1-18.
    5. Margrabe, William, 1978. "The Value of an Option to Exchange One Asset for Another," Journal of Finance, American Finance Association, American Finance Association, vol. 33(1), pages 177-86, March.
    6. Freddy Delbaen & Walter Schachermayer, 1994. "Arbitrage And Free Lunch With Bounded Risk For Unbounded Continuous Processes," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 4(4), pages 343-348.
    7. Bick, Avi, 1990. " On Viable Diffusion Price Processes of the Market Portfolio," Journal of Finance, American Finance Association, American Finance Association, vol. 45(2), pages 673-89, June.
    8. Parkinson, Michael, 1977. "Option Pricing: The American Put," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 50(1), pages 21-36, January.
    9. W. Schachermayer, 1994. "Martingale Measures For Discrete-Time Processes With Infinite Horizon," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 4(1), pages 25-55.
    10. Jouini, Elyès & Kallal, Hedi, 1995. "Arbitrage in securities markets with short-sales constraints," Economics Papers from University Paris Dauphine, Paris Dauphine University 123456789/5647, Paris Dauphine University.
    11. Harrison, J. Michael & Pliska, Stanley R., 1983. "A stochastic calculus model of continuous trading: Complete markets," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 15(3), pages 313-316, August.
    12. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, Elsevier, vol. 20(3), pages 381-408, June.
    13. Harrison, J. Michael & Pliska, Stanley R., 1981. "Martingales and stochastic integrals in the theory of continuous trading," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 11(3), pages 215-260, August.
    14. Broadie, Mark & Detemple, Jerome, 1995. "American Capped Call Options on Dividend-Paying Assets," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 8(1), pages 161-91.
    15. Naik, Vasanttilak & Lee, Moon, 1990. "General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 3(4), pages 493-521.
    16. Back, Kerry, 1991. "Asset pricing for general processes," Journal of Mathematical Economics, Elsevier, Elsevier, vol. 20(4), pages 371-395.
    17. Heston, Steven L, 1993. " Invisible Parameters in Option Prices," Journal of Finance, American Finance Association, American Finance Association, vol. 48(3), pages 933-47, July.
    18. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
    19. Bick, Avi, 1987. "On the Consistency of the Black-Scholes Model with a General Equilibrium Framework," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 22(03), pages 259-275, September.
    20. Schweizer, Martin, 1992. "Martingale densities for general asset prices," Journal of Mathematical Economics, Elsevier, Elsevier, vol. 21(4), pages 363-378.
    21. Stapleton, R C & Subrahmanyam, M G, 1990. "Risk Aversion and the Intertemporal Behavior of Asset Prices," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 3(4), pages 677-93.
    22. Philippe Artzner & David Heath, 1995. "Approximate Completeness With Multiple Martingale Measures," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 5(1), pages 1-11.
    23. He, Hua & Leland, Hayne, 1993. "On Equilibrium Asset Price Processes," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 6(3), pages 593-617.
    24. Freddy Delbaen, 1992. "Representing Martingale Measures When Asset Prices Are Continuous And Bounded," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 2(2), pages 107-130.
    25. repec:fth:inseep:9514 is not listed on IDEAS
    26. Hans U. Gerber & Hlias S. W. Shiu, 1996. "Martingale Approach To Pricing Perpetual American Options On Two Stocks," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 6(3), pages 303-322.
    27. Elyégs Jouini & Hédi Kallal, 1995. "Arbitrage In Securities Markets With Short-Sales Constraints," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 5(3), pages 197-232.
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    Cited by:
    1. López Cabrera, Brenda & Odening, Martin & Ritter, Matthias, 2013. "Pricing rainfall futures at the CME," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(11), pages 4286-4298.
    2. Lee, Hangsuck, 2003. "Pricing equity-indexed annuities with path-dependent options," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 33(3), pages 677-690, December.
    3. Goovaerts, Marc J. & Kaas, Rob & Laeven, Roger J.A., 2010. "Decision principles derived from risk measures," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 47(3), pages 294-302, December.
    4. Kijima, Masaaki & Muromachi, Yukio, 2008. "An extension of the Wang transform derived from Bühlmann's economic premium principle for insurance risk," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 42(3), pages 887-896, June.
    5. Bo, Lijun, 2011. "Exponential change of measure applied to term structures of interest rates and exchange rates," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 49(2), pages 216-225, September.
    6. Kim, Young Shin & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Fabozzi, Frank J., 2008. "Financial market models with Lévy processes and time-varying volatility," Journal of Banking & Finance, Elsevier, Elsevier, vol. 32(7), pages 1363-1378, July.
    7. Becherer, Dirk, 2003. "Rational hedging and valuation of integrated risks under constant absolute risk aversion," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 33(1), pages 1-28, August.
    8. Lau, John W. & Siu, Tak Kuen, 2008. "On option pricing under a completely random measure via a generalized Esscher transform," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 43(1), pages 99-107, August.
    9. Zhu, Wenge, 2011. "Ambiguity aversion and an intertemporal equilibrium model of catastrophe-linked securities pricing," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 49(1), pages 38-46, July.
    10. Bo, Lijun & Wang, Yongjin & Yang, Xuewei, 2010. "Markov-modulated jump-diffusions for currency option pricing," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 46(3), pages 461-469, June.
    11. Wu, Yang-Che & Liao, Szu-Lang & Shyu, So-De, 2009. "Closed-form valuations of basket options using a multivariate normal inverse Gaussian model," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 44(1), pages 95-102, February.
    12. Bacinello, Anna Rita, 2000. "Valuation of contingent-claims characterising particular pension schemes," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 27(2), pages 177-188, October.
    13. Brenda López Cabrera & Martin Odening & Matthias Ritter, 2013. "Pricing Rainfall Derivatives at the CME," SFB 649 Discussion Papers, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany SFB649DP2013-005, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    14. Dhaene, J. & Denuit, M. & Goovaerts, M. J. & Kaas, R. & Vyncke, D., 2002. "The concept of comonotonicity in actuarial science and finance: applications," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 31(2), pages 133-161, October.
    15. Dijkstra, Theo K. & Yao, Yong, 2002. "Moment generating function approach to pricing interest rate and foreign exchange rate claims," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 31(2), pages 163-178, October.
    16. Ko, Bangwon & Shiu, Elias S.W. & Wei, Li, 2010. "Pricing maturity guarantee with dynamic withdrawal benefit," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 47(2), pages 216-223, October.
    17. Goovaerts, Marc J. & Laeven, Roger J.A., 2008. "Actuarial risk measures for financial derivative pricing," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 42(2), pages 540-547, April.
    18. Gerber, Hans U. & Shiu, Elias S.W. & Yang, Hailiang, 2012. "Valuing equity-linked death benefits and other contingent options: A discounted density approach," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 51(1), pages 73-92.
    19. Norberg, Ragnar, 2006. "Dynamic greeks," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 39(1), pages 123-133, August.
    20. Jang, Ji-Wook & Krvavych, Yuriy, 2004. "Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 35(1), pages 97-111, August.
    21. Robert J. Elliott & Leunglung Chan & Tak Kuen Siu, 2005. "Option pricing and Esscher transform under regime switching," Annals of Finance, Springer, Springer, vol. 1(4), pages 423-432, October.
    22. Iwaki, Hideki & Kijima, Masaaki & Morimoto, Yuji, 2001. "An economic premium principle in a multiperiod economy," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 28(3), pages 325-339, June.

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