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Equilibrium preference free pricing of derivatives under the generalized beta distributions

✍ Scribed by Masayuki Ikeda


Book ID
106514081
Publisher
Springer US
Year
2010
Tongue
English
Weight
546 KB
Volume
13
Category
Article
ISSN
1380-6645

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General equilibrium and preference free
✍ Luiz Vitiello; Ser-Huang Poon πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 246 KB

## Abstract The gamma class of distributions encompasses several important distributions, either as special or limiting cases or through simple transformations. Here we derived closed form and preference free European option pricing formulae for various (transformed) gamma distributions under the g