2 papers
q-fin.MF2026
Second-Order Esscher Pricing for Lévy Models with Applications: Risk Management and Fear Quantification
Tahir Choulli, Ella Elazkany, Mich`ele Vanmaele
This paper proposes the second-order Esscher transform as a tractable extension of the classical Esscher framework for option pricing and risk management in Lévy-driven markets. F…
q-fin.MF2024
The second-order Esscher martingale densities for continuous-time market models
Tahir Choulli, Ella Elazkany, Michèle Vanmaele
In this paper, we introduce the second-order Esscher pricing notion for continuous-time models. Depending whether the stock price or its logarithm is the main driving noise/sho…