Dr Luiz Vitiello

Journal articles (6)

Vitiello, L. and Poon, S-H., (2022). Option pricing with random risk aversion. Review of Quantitative Finance and Accounting. 58 (4), 1665-1684

Chen, K., Vitiello, L., Hyde, S. and Poon, S., (2018). The Reality of Stock Market Jumps Diversification. Journal of International Money and Finance. 86, 171-188

Vitiello, L. and Rebelo, I., (2015). A note on the pricing of multivariate contingent claims under a transformed-gamma distribution. Review of Derivatives Research. 18 (3), 291-300

Vitiello, L. and Poon, S., (2014). Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing. Review of Derivatives Research. 17 (2), 241-259

Reports and Papers (1)

Chen, K., Vitiello, L. and Poon, S-H., The Reality of Stock Market Jumps Diversification