{"paper":{"title":"Second-Order Esscher Pricing for L\\'evy Models with Applications: Risk Management and Fear Quantification","license":"http://creativecommons.org/licenses/by-sa/4.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.MF","authors_text":"Ella Elazkany, Mich`ele Vanmaele, Tahir Choulli","submitted_at":"2024-10-29T01:31:23Z","abstract_excerpt":"This paper proposes the second-order Esscher transform as a tractable extension of the classical Esscher framework for option pricing and risk management in L\\'evy-driven markets. For a general L\\'evy process, we derive the associated densities and equivalent pricing measures, characterize the martingale condition in closed form, and obtain FFT-based valuation formulas for European call options. For jump-diffusion models, we establish explicit pricing formulas under the second-order Esscher measure and show that the resulting option prices lie in an interval bounded below by the Black--Scholes"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"2410.21649","kind":"arxiv","version":2},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"integrity":{"clean":true,"summary":{"advisory":0,"critical":0,"by_detector":{},"informational":0},"endpoint":"/pith/2410.21649/integrity.json","findings":[],"available":true,"detectors_run":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938"},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}