Equilibrium preference free pricing of derivatives under the generalized beta distributions

Masayuki Ikeda*

*この研究の対応する著者

研究成果: Article査読

抄録

This paper demonstrates that the risk neutral valuation relationship (RNVR) exists when the aggregate wealth and the underlying variable for derivatives follow a distribution from the family of transformed beta distributions. Specifically, the asset specific pricing kernel (ASPK) is solved for the generalized beta (GB) distribution class, which is extremely flexible to describe various shapes of underlying distributions. With the ASPK in hand, preference free call option formulas are obtained for rescaled and shifted beta distribution of the first kind (RSB1) and for the second kind (RSB2). These distributions include many well known important distributions as special cases. If the preference free formula does not exist under the GB distribution class, then the call price is shown to be numerically calculated without information of preference parameters once the spot price of the underlying is given.

本文言語English
ページ(範囲)297-332
ページ数36
ジャーナルReview of Derivatives Research
13
3
DOI
出版ステータスPublished - 2010

ASJC Scopus subject areas

  • 財務
  • 経済学、計量経済学および金融学(その他)

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