Bühlmann’s Economic Premium Principle in The Presence of Transaction Costs

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Summary, etc.：: This paper examines the B¨uhlmann’s equilibrium pricing model (1980) in the presence of transaction cost and derives the (multivariate) Esscher transf...

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Material Type: 規格・テクニカルリポート類
Title: Bühlmann’s Economic Premium Principle in The Presence of Transaction Costs
Author/Editor: Kijima, Masaaki
Tamura, Akihisa
Author Heading: Kijima, Masaaki
Tamura, Akihisa
Publication, Distribution, etc.: 京都大学経済研究所
Publication Date: 2014-04
Publication Date (W3CDTF): 2014
Periodical title: KIER Discussion Paper
No. or year of volume/issue: 893
Volume: 893
Subject Heading: Equilibrium pricing
Equilibrium allocation
Incomplete market
Esscher transform
Transaction cost
NDC: 330
Target Audience: 一般
Note (General): 出版タイプ： AM
Format (IMT): application/pdf
Source: DP893.pdf （fulltext）
http://repository.kulib.kyoto-u.ac.jp/dspace/bitstream/2433/185180/1/DP893.pdf
Access Restrictions: インターネット公開
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 京都大学 : 京都大学学術情報リポジトリ