 previous article in this issue | next article in this issue  |
|
Document Details : Title: On the Applicability of the Wang Transform for Pricing Financial Risks Author(s): PELSSER, Antoon Journal: ASTIN Bulletin Volume: 38 Issue: 1 Date: May 2008 Pages: 171-181 DOI: 10.2143/AST.38.1.2030409 Abstract : In an arbitrage-free economy, it is well-known that financial risks can be priced using equivalent martingale measures. We establish in this paper that, for general stochastic processes, the Wang Transform does not lead to a price which is consistent with the arbitrage-free price. Based on these results we must conclude that the Wang Transform cannot be a universal framework for pricing financial and insurance risks. |
