𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Viewpoint: Option prices, preferences, and state variables

✍ Scribed by René Garcia; Richard Luger; Éric Renault


Book ID
110725542
Publisher
John Wiley and Sons
Year
2005
Tongue
English
Weight
234 KB
Volume
38
Category
Article
ISSN
0008-4085

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General equilibrium and preference free
✍ Luiz Vitiello; Ser-Huang Poon 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 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