Equilibrium preference free pricing of derivatives under the generalized beta distributions
From MaRDI portal
Publication:541594
DOI10.1007/s11147-010-9051-4zbMath1213.91155MaRDI QIDQ541594
Publication date: 7 June 2011
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11147-010-9051-4
implied volatility; generalized beta distribution; risk neutral valuation relationship; asset specific pricing kernel
91G20: Derivative securities (option pricing, hedging, etc.)
Cites Work
- The Pricing of Options and Corporate Liabilities
- Option prices under generalized pricing kernels
- A generalization of the beta distribution with applications
- Statistical Size Distributions in Economics and Actuarial Sciences
- Financial Modelling with Jump Processes
- The Variance Gamma Process and Option Pricing
- Option pricing when underlying stock returns are discontinuous
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