caa a22 4500 605451125 CHVBK 20210128100150.0 cr unu---uuuuu 210128e20151001xx s 000 0 eng 10.1007/s11147-015-9112-9 doi (NATIONALLICENCE)springer-10.1007/s11147-015-9112-9 A note on the pricing of multivariate contingent claims under a transformed-gamma distribution [Elektronische Daten] [Luiz Vitiello, Ivonia Rebelo] 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. Springer Science+Business Media New York, 2015 Multivariate transformed-gamma distribution nationallicence Multivariate contingent claim nationallicence Stochastic strike price nationallicence General equilibrium nationallicence Vitiello Luiz Essex Business School, University of Essex, Wivenhoe Park, CO4 3SQ, Colchester, UK aut Rebelo Ivonia Business School, London Metropolitan University, 84 Moorgate, EC2M 6SQ, London, UK aut Review of Derivatives Research Springer US; http://www.springer-ny.com 18/3(2015-10-01), 291-300 1380-6645 18:3<291 2015 18 11147 https://doi.org/10.1007/s11147-015-9112-9 text/html Onlinezugriff via DOI BK010053 XK010053 XK010000 Metadata rights reserved Springer special CC-BY-NC licence nationallicence 1 research-article jats NATIONALLICENCE NATIONALLICENCE NL-springer NATIONALLICENCE 856 40 https://doi.org/10.1007/s11147-015-9112-9 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Vitiello Luiz Essex Business School, University of Essex, Wivenhoe Park, CO4 3SQ, Colchester, UK aut NATIONALLICENCE 700 1- Rebelo Ivonia Business School, London Metropolitan University, 84 Moorgate, EC2M 6SQ, London, UK aut NATIONALLICENCE 773 0- Review of Derivatives Research Springer US; http://www.springer-ny.com 18/3(2015-10-01), 291-300 1380-6645 18:3<291 2015 18 11147