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

Article English OPEN
Vitiello, Luiz; Poon, Ser-Huang;
(2009)
  • 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
  • References (17)
    17 references, page 1 of 2

    [1] Ait-Sahalia, Y. and A. Lo (1998) Nonparametric Estimation of Sta te-Price Densities Implicit in Financial Asset Prices, Journal of Finance, 53, 499-547.

    [2] Bahra B. (1997) Implied risk-neutral probability density functions from option prices: theory and application, Bank of England

    [3] Black F. and M. Scholes (1973) The pricing of options and corporate liabilities, Journal of Political Economy 81, 637-654.

    [4] Brennan M. (1979) The pricing of contingent claims in discrete time models, Journal of Finance 34, 53-68.

    [5] Brown, D. and J. C. Jackwerth (2004) The Pricing Kernel Puzzle: Reconciling Index Option Data and Economic Theory, Working Paper, University of Konstanz.

    [6] Camara Antonio (2003) A Generalization of the Brennan-Rubinstein Approach for the Pricing of Derivatives, Journal of Finance 58, 805-821.

    [7] Jackwerth J. C. a nd M. Rubinstein, (1996) Recovering Probability Distributions from Option Prices, Journal of Finance, 51, 1611-1631.

    [8] Johnson N. (1949 ) Systems of Frequency Curves Generated by Methods of Translation, Biometrika, 36, 149-176.

    [9] Heston, S. (1993) Invisible Parameters in Option Prices, Journal of Finance 48, 933-947.

    [10] Huang, Chi-fu and Robert Litzenberger (1988) Foundations for Financial Economics, North-Holla nd Publishing Co.

  • Similar Research Results (1)
    publication
    Option implied risk aversion (2012)
    86%
  • Metrics
Share - Bookmark