A note on the pricing of contingent claims with a mixture of distributions in a discrete-time general equilibrium framework

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Vitiello, Luiz; Poon, Ser-Huang;
  • Publisher: Centre for International Capital Markets, London Metropolitan University
  • Subject: dewey330

Mixtures of distributions have been applied to contingent claim pricing as a way of extending the Black and Scholes (1973) assumption of lognormally distributed assets. The pricing framework presented here delivers preference free contingent claim pricing formulae and e... View more
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    Option implied risk aversion (2012)
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