Risk-Neutral Valuation: Pricing and Hedging of Financial Derivatives

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The Impact of Stochastic Volatility on Pricing, Hedging, and Hedge Efficiency of Withdrawal Benefit Guarantees in Variable Annuities (2011, methodology): “0 ) 0 ( ), ( ) ( ) ( ) ( ≥ + = S t dW t S dt t rS t dS Q BS σ , (6)”
Valuing Equity-Indexed Annuities (2000, background): “Descriptions on Esscher transforms can also be found in the books Bingham and Kiesel (1998) and Shiryaev (1999).”
On a new approach to calculating expectations for option pricing (2002, background): “Introduction It is well known (see for example [2], [8]) that under the standard assumptions (no arbitrage, completeness of the financial market etc.”