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Carte General Equilibrium Option Pricing Method: Theoretical and Empirical Study Jian Chen

General Equilibrium Option Pricing Method: Theoretical and Empirical Study

Autor: Jian Chen
Limbă: engleză
Legare: Copertă tare
Editura: Springer Verlag, Singapore
Disponibilitate: În depozitul extern
Expediem în 10-13 zile
550.75 lei
This book mainly addresses the general equilibrium asset pricing method in two aspects: option prici...

Informații despre carte

Autor
Jian Chen
Limbă
engleză
Legare
Carte - Copertă tare
Publicat
2018
Pagini
164
EAN
9789811074271
ISBN
9811074275
Enbook ID
18374573
Editura
Springer Verlag, Singapore
Greutate
436
Dimensiuni
155 x 235 x 17

Descriere completă

This book mainly addresses the general equilibrium asset pricing method in two aspects: option pricing and variance risk premium. First, volatility smile and smirk is the famous puzzle in option pricing. Different from no arbitrage method, this book applies the general equilibrium approach in explaining the puzzle. In the presence of jump, investors impose more weights on the jump risk than the volatility risk, and as a result, investors require more jump risk premium which generates a pronounced volatility smirk. Second, based on the general equilibrium framework, this book proposes variance risk premium and empirically tests its predictive power for international stock market returns.

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