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• W1984392265 endingPage "347" @default.
• W1984392265 startingPage "337" @default.
• W1984392265 abstract "The Esscher transform is an important tool in actuarial science. Since the pioneering work of Gerber and Shiu (1994), the use of the Esscher transform for option valuation has also been investigated extensively. However, the relationships between the asset pricing model based on the Esscher transform and some fundamental equilibrium-based asset pricing models, such as consumption-based models, have so far not been well-explored. In this paper, we attempt to bridge the gap between consumption-based models and asset pricing models based on Esscher-type transformations in a discrete-time setting. Based on certain assumptions for the distributions of asset returns, changes in aggregate consumptions and returns on the market portfolio, we construct pricing measures that are consistent with those arising from Esscher-type transformations. Explicit relationships between the market price of risk, and the risk preference parameters are derived for some particular cases." @default.
• W1984392265 created "2016-06-24" @default.
• W1984392265 creator A5032088065 @default.
• W1984392265 creator A5045670674 @default.
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• W1984392265 date "2009-12-01" @default.
• W1984392265 modified "2023-09-28" @default.
• W1984392265 title "Esscher transforms and consumption-based models" @default.
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• W1984392265 doi "https://doi.org/10.1016/j.insmatheco.2009.08.001" @default.
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