A note on the pricing of multivariate contingent claims under a transformed-gamma distribution

DOI10.1007/s11147-015-9112-9zbMath1345.91076OpenAlexW1602223776MaRDI QIDQ315039

Ivonia Rebelo, Luiz Vitiello

Publication date: 19 September 2016

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: http://repository.essex.ac.uk/15234/1/SSRN-id2543180.pdf

zbMATH Keywords

general equilibriummultivariate contingent claimmultivariate transformed-gamma distributionstochastic strike price

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Option pricing in a conditional bilateral Gamma model
• On a multivariate gamma
• On Modelling and Pricing Rainfall Derivatives with Seasonality
• Pricing and Hedging Spread Options
• The Variance Gamma Process and Option Pricing

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