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Equilibrium preference free pricing of derivatives under the generalized beta distributions

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  • Masayuki Ikeda

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  • Masayuki Ikeda, 2010. "Equilibrium preference free pricing of derivatives under the generalized beta distributions," Review of Derivatives Research, Springer, vol. 13(3), pages 297-332, October.
    • Handle: RePEc:kap:revdev:v:13:y:2010:i:3:p:297-332
    DOI: 10.1007/s11147-010-9051-4
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    References listed on IDEAS

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    1. Thurow, Lester C, 1970. "Analyzing the American Income Distribution," American Economic Review, American Economic Association, vol. 60(2), pages 261-269, May.
    2. McDonald, James B. & Xu, Yexiao J., 1995. "A generalization of the beta distribution with applications," Journal of Econometrics, Elsevier, vol. 69(2), pages 427-428, October.
    3. Poon, Ser-Huang, 2005. "Asset Pricing in Discrete Time: A Complete Markets Approach," OUP Catalogue, Oxford University Press, number 9780199271443, Decembrie.
    4. Stapleton, Richard C & Subrahmanyam, Marti G, 1984. "The Valuation of Multivariate Contingent Claims in Discrete Time Models," Journal of Finance, American Finance Association, vol. 39(1), pages 207-228, March.
    5. Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
    6. Brennan, M J, 1979. "The Pricing of Contingent Claims in Discrete Time Models," Journal of Finance, American Finance Association, vol. 34(1), pages 53-68, March.
    7. Kolari, James & McInish, Thomas H. & Saniga, Erwin M., 1989. "A note on the distribution types of financial ratios in the commercial banking industry," Journal of Banking & Finance, Elsevier, vol. 13(3), pages 463-471, July.
    8. Peter Carr & Helyette Geman, 2002. "The Fine Structure of Asset Returns: An Empirical Investigation," The Journal of Business, University of Chicago Press, vol. 75(2), pages 305-332, April.
    9. António Câmara, 2003. "A Generalization of the Brennan-Rubinstein Approach for the Pricing of Derivatives," Journal of Finance, American Finance Association, vol. 58(2), pages 805-820, April.
    10. Mark Schroder, 2004. "Risk-Neutral Parameter Shifts and Derivatives Pricing in Discrete Time," Journal of Finance, American Finance Association, vol. 59(5), pages 2375-2402, October.
    11. Heston, Steven L, 1993. "Invisible Parameters in Option Prices," Journal of Finance, American Finance Association, vol. 48(3), pages 933-947, July.
    12. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    13. Antonio Camara, 2005. "Option Prices Sustained by Risk-Preferences," The Journal of Business, University of Chicago Press, vol. 78(5), pages 1683-1708, September.
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    More about this item

    Keywords

    Generalized beta distribution; Risk neutral valuation relationship; Asset specific pricing kernel; Implied volatility; G12; G13;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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