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| Author: | Cãmara, A. |
| Title: | A generalization of the Brennan-Rubinstein approach for the pricing of derivatives |
| Journal: | Journal of Finance
2003 : APR, VOl. 58:2. p. 805-819 |
| Index terms: | Derivative securities Option prices |
| Language: | eng |
| Abstract: | Preference-free option pricing equations are derived in a discrete time economy where asset returns have continuous distributions. There is a representative agent who has risk preferences with an exponential representation. Aggregate wealth and the undelying asset price have transformed normal distributions which may or may not belong to the same family of distributions. |
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