The Pricing of Contingent Claims in a Multivariate Gamma Distributed Economy
In this paper we establish a Risk Neutral Valuation Relationship and develop a framework for pricing multivariate European-style contingent claims in a discrete-time economy using a multivariate gamma distribution. In our framework, risk neutrality is obtained by using market equilibrium conditions,...
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| Format: | Article |
| Language: | English |
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Centre for EMEA Banking, Finance and Economics, London Metropolitan University
2011
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| Online Access: | https://repository.londonmet.ac.uk/441/1/CentreforEMEABankingFinanceAndEconomicsWorkingPaperSeries%20No.21%2011.pdf |