The gamma class of distributions encompasses several important distributions either as special or limiting cases, or through simple transformations. In this paper, we established the link between the real and the risk neutral distributions, and provided a formal proof for the existence of the...

This paper develops a closed form risk-neutral valuation model for pricing European style options when the underlying has a mixture of transformed-normal distributions. Specifically, we introduce the mixture of g distributions, which contains the mixture of normal and lognormal distributions as...

We derive closed form European option pricing formulae under the general equilibrium framework for underlying assets that have an <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$N$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <mi>N</mi> </math> </EquationSource> </InlineEquation>-mixture of transformed normal distributions. The component distributions need not belong to the same class but must all be transformed normal. An...</equationsource></equationsource></inlineequation>

The gamma class of distributions encompasses several important distributions, either as special or limiting cases or through simple transformations. Here we derived closed form and preference free European option pricing formulae for various (transformed) gamma distributions under the general...

In the finance literature, cross-sectional dependence in extreme returns of risky assets is often modelled implicitly assuming an asymptotically dependent structure. If the true dependence structure is asymptotically independent then current modelling approaches will lead to an over-estimation...