Equilibrium preference free pricing of derivatives under the generalized beta distributions

DOI10.1007/s11147-010-9051-4zbMath1213.91155OpenAlexW2069494894MaRDI QIDQ541594

Masayuki Ikeda

Publication date: 7 June 2011

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

Full work available at URL: https://doi.org/10.1007/s11147-010-9051-4

zbMATH Keywords

implied volatilitygeneralized beta distributionrisk neutral valuation relationshipasset specific pricing kernel

Mathematics Subject Classification ID

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

Cites Work

• The Pricing of Options and Corporate Liabilities
• Option prices under generalized pricing kernels
• A generalization of the beta distribution with applications
• Statistical Size Distributions in Economics and Actuarial Sciences
• Financial Modelling with Jump Processes
• The Variance Gamma Process and Option Pricing
• Option pricing when underlying stock returns are discontinuous
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