Pricing Chinese Rain: A Multisite Multi-Period Equilibrium Pricing Model for Rainfall Derivatives

Pension Fund Real Estate Investment Under a Simple Equilibrium Pricing Model

Financial Analysts Journal ◽

10.2469/faj.v47.n3.20 ◽

1991 ◽

Vol 47 (3) ◽

pp. 20-30 ◽

Cited By ~ 32

Author(s):

Richard M. Ennis ◽

Paul Burik

Keyword(s):

Real Estate ◽

Pension Fund ◽

Pricing Model ◽

Real Estate Investment ◽

Equilibrium Pricing

An Equilibrium Pricing Model for Wind Power Futures

SSRN Electronic Journal ◽

10.2139/ssrn.2830574 ◽

2016 ◽

Author(s):

Gerke Gersema

Keyword(s):

Wind Power ◽

Pricing Model ◽

Equilibrium Pricing

A Multivariate Extension of Equilibrium Pricing Transforms: The Multivariate Esscher and Wang Transforms for Pricing Financial and Insurance Risks

Astin Bulletin ◽

10.1017/s0515036100014483 ◽

2006 ◽

Vol 36 (1) ◽

pp. 269-283 ◽

Cited By ~ 8

Author(s):

Masaaki Kijima

Keyword(s):

Pricing Model ◽

Equilibrium Pricing ◽

Multivariate Extension ◽

Aggregate Risk ◽

Normally Distributed

This paper proposes a multivariate extension of the equilibrium pricing transforms for pricing general financial and insurance risks. The multivariate Esscher and Wang transforms are derived from Bühlmann’s equilibrium pricing model (1980) under some assumptions on the aggregate risk. It is shown that the Esscher and Wang transforms coincide with each other when the underlying risks are normally distributed.

A Multiperiod Equilibrium Pricing Model

Journal of Applied Mathematics ◽

10.1155/2014/408685 ◽

2014 ◽

Vol 2014 ◽

pp. 1-14 ◽

Cited By ~ 3

Author(s):

Minsuk Kwak ◽

Traian A. Pirvu ◽

Huayue Zhang

Keyword(s):

Optimal Strategies ◽

Risky Asset ◽

Model Parameters ◽

Contingent Claim ◽

Pricing Model ◽

Equilibrium Pricing ◽

Equilibrium Prices ◽

Numerical Result ◽

Stochastic Framework ◽

Stochastic Coefficient

We propose an equilibrium pricing model in a dynamic multiperiod stochastic framework with uncertain income. There are one tradable risky asset (stock/commodity), one nontradable underlying (temperature), and also a contingent claim (weather derivative) written on the tradable risky asset and the nontradable underlying in the market. The price of the contingent claim is priced in equilibrium by optimal strategies of representative agent and market clearing condition. The risk preferences are of exponential type with a stochastic coefficient of risk aversion. Both subgame perfect strategy and naive strategy are considered and the corresponding equilibrium prices are derived. From the numerical result we examine how the equilibrium prices vary in response to changes in model parameters and highlight the importance of our equilibrium pricing principle.