A note on the pricing of multivariate contingent claims under a transformed-gamma distribution
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| 024 | 7 | 0 | |a 10.1007/s11147-015-9112-9 |2 doi |
| 035 | |a (NATIONALLICENCE)springer-10.1007/s11147-015-9112-9 | ||
| 245 | 0 | 2 | |a A note on the pricing of multivariate contingent claims under a transformed-gamma distribution |h [Elektronische Daten] |c [Luiz Vitiello, Ivonia Rebelo] |
| 520 | 3 | |a We develop a framework for pricing multivariate European-style contingent claims in a discrete-time economy based on a multivariate transformed-gamma distribution. In our model, each transformed-gamma distributed underlying asset depends on two terms: a idiosyncratic term and a systematic term, where the latter is the same for all underlying assets and has a direct impact on their correlation structure. Given our distributional assumptions and the existence of a representative agent with a standard utility function, we apply equilibrium arguments and provide sufficient conditions for obtaining preference-free contingent claim pricing equations. We illustrate the applicability of our framework by providing examples of preference-free contingent claim pricing models. Multivariate pricing models are of particular interest when payoffs depend on two or more underlying assets, such as crack and crush spread options, options to exchange one asset for another, and options with a stochastic strike price in general. | |
| 540 | |a Springer Science+Business Media New York, 2015 | ||
| 690 | 7 | |a Multivariate transformed-gamma distribution |2 nationallicence | |
| 690 | 7 | |a Multivariate contingent claim |2 nationallicence | |
| 690 | 7 | |a Stochastic strike price |2 nationallicence | |
| 690 | 7 | |a General equilibrium |2 nationallicence | |
| 700 | 1 | |a Vitiello |D Luiz |u Essex Business School, University of Essex, Wivenhoe Park, CO4 3SQ, Colchester, UK |4 aut | |
| 700 | 1 | |a Rebelo |D Ivonia |u Business School, London Metropolitan University, 84 Moorgate, EC2M 6SQ, London, UK |4 aut | |
| 773 | 0 | |t Review of Derivatives Research |d Springer US; http://www.springer-ny.com |g 18/3(2015-10-01), 291-300 |x 1380-6645 |q 18:3<291 |1 2015 |2 18 |o 11147 | |
| 856 | 4 | 0 | |u https://doi.org/10.1007/s11147-015-9112-9 |q text/html |z Onlinezugriff via DOI |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 900 | 7 | |a Metadata rights reserved |b Springer special CC-BY-NC licence |2 nationallicence | |
| 908 | |D 1 |a research-article |2 jats | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-springer | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.1007/s11147-015-9112-9 |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Vitiello |D Luiz |u Essex Business School, University of Essex, Wivenhoe Park, CO4 3SQ, Colchester, UK |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Rebelo |D Ivonia |u Business School, London Metropolitan University, 84 Moorgate, EC2M 6SQ, London, UK |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Review of Derivatives Research |d Springer US; http://www.springer-ny.com |g 18/3(2015-10-01), 291-300 |x 1380-6645 |q 18:3<291 |1 2015 |2 18 |o 11147 | ||