Luiz Vitiello

University of Essex - Essex Business School

Wivenhoe Park

Colchester, CO4 3SQ

United Kingdom

  • University of Essex - Essex Business School

SCHOLARLY PAPERS

8

DOWNLOADS

773

SSRN CITATIONS

2

CROSSREF CITATIONS

3

Scholarly Papers (8)

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1.

A General Equilibrium and Preference Free Model for Pricing Options Under Transformed Gamma Distribution

Manchester Business School Working Paper
Number of pages: 29 Posted: 17 Aug 2006
Luiz Vitiello and Ser-Huang Poon
University of Essex - Essex Business School and Alliance Manchester Business School, University of Manchester
Downloads 182 (193,038)
Citation 2

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Risk Neutral Valuation Relationship, General Equilibrium Framework, Transformed Gamma Distribution, Weather Derivatives

2.

Actuarial Transform Pricing

Downloads 165 (210,048)

Actuarial Transform Pricing

Number of pages: 30 Posted: 07 Feb 2010
Oleg A. Ruban, Luiz Vitiello and Ser-Huang Poon
MSCI Inc., University of Essex - Essex Business School and Alliance Manchester Business School, University of Manchester
Downloads 95 (320,026)

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Genral Equilibrium, Esscher Transform, Indifference Pricing, Wang Transform, Standard Deviation Loading

Actuarial Transform Pricing

Manchester Business School Research Paper No. 592
Number of pages: 32 Posted: 03 Apr 2010
Oleg A. Ruban, Luiz Vitiello and Ser-Huang Poon
MSCI Inc., University of Essex - Essex Business School and Alliance Manchester Business School, University of Manchester
Downloads 70 (385,296)

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Esscher transform, indifference pricing, Wang transform, standard deviation loading

3.

Pricing GDP Linked Securities

Number of pages: 44 Posted: 08 Apr 2014
Oleg A. Ruban, Luiz Vitiello and Ser-Huang Poon
MSCI Inc., University of Essex - Essex Business School and Alliance Manchester Business School, University of Manchester
Downloads 154 (222,702)
Citation 1

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GDP linked bond, Incomplete Markets, Structural Models, Esscher transform, General Equilibrium

4.

The Reality of Stock Market Jumps Diversification (with Internet Appendix)

Number of pages: 49 Posted: 14 Feb 2017 Last Revised: 17 Nov 2017
Ke Chen, Luiz Vitiello, Stuart Hyde and Ser-Huang Poon
University of Manchester - Manchester Business School, University of Essex - Essex Business School, Alliance Manchester Business School - University of Manchester and Alliance Manchester Business School, University of Manchester
Downloads 120 (270,804)

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Asset allocation, international portfolio diversification, home bias, systemic and idiosyncratic jumps, jump news

5.

Jump Mis-Specification and International Portfolio Selection

Number of pages: 31 Posted: 04 Apr 2014
Ke Chen, Luiz Vitiello and Ser-Huang Poon
University of Manchester - Manchester Business School, University of Essex - Essex Business School and Alliance Manchester Business School, University of Manchester
Downloads 87 (335,997)

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Systemic Jump, Idiosyncratic Jump, Jump-diffusion, International Portfolio Diversification, Markov Chain Monte Carlo

6.

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
Downloads 43 (476,858)

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

7.

Option Pricing with Random Risk Aversion

Number of pages: 22 Posted: 28 Nov 2020
Luiz Vitiello and Ser-Huang Poon
University of Essex - Essex Business School and Alliance Manchester Business School, University of Manchester
Downloads 22 (588,304)

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State-Dependent Risk Aversion, Random Risk Aversion, Non-Monotonic Pricing Kernel, Transformed Normal Distribution

8.

General Equilibrium and Risk Neutral Valuation Framework for Option Pricing with Mixture of Distributions

https://doi.org/10.3905/jod.2008.707210, Manchester Business School Working Paper
Posted: 14 Aug 2006
Luiz Vitiello and Ser-Huang Poon
University of Essex - Essex Business School and Alliance Manchester Business School, University of Manchester

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General Equilibrium, G Distribution, Mixture of Distributions, Risk Neutral Valuation Relationship, Pricing Kernel, Option Pricing