Ivonia Rebelo

London Metropolitan Business School

London Metropolitan University

Holloway Road 271-280

LONDON, London N7 8HN

United Kingdom

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Scholarly Papers (1)

1.

A Note on the Pricing of Multivariate Contingent Claims Under a Transformed-Gamma Distribution

Number of pages: 18 Posted: 28 Dec 2014
Luiz Vitiello and Ivonia Rebelo
University of Essex - Essex Business School and London Metropolitan Business School
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Abstract:

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Multivariate Transformed-Gamma Distribution, Risk Neutral Valuation Relationship, Multivariate Contingent Claim, Stochastic Strike Price, General Equilibrium