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

General Equilibrium Option Pricing Method: Theoretical and Empirical Study

Autor: Jian Chen
Język: Angielski
Oprawa: Twarda
Wydawca: Springer Verlag, Singapore
Dostępność: Dostępna u dostawcy
Wysyłamy za 10-13 dni
433.29 zł
This book mainly addresses the general equilibrium asset pricing method in two aspects: option prici...

Informacje o książce

Autor
Jian Chen
Język
Angielski
Oprawa
Książka - Twarda
Data wydania
2018
strony
164
EAN
9789811074271
ISBN
9811074275
Enbook ID
18374573
Wydawca
Springer Verlag, Singapore
Waga
436
Wymiary
155 x 235 x 17

Pełny opis

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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