General Equilibrium Option Pricing Method: Theoretical and Empirical Study

Author:   Jian Chen
Publisher:   Springer Verlag, Singapore
Edition:   Softcover reprint of the original 1st ed. 2018
ISBN:  

9789811339509


Pages:   164
Publication Date:   29 December 2018
Format:   Paperback
Availability:   Manufactured on demand   Availability explained
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General Equilibrium Option Pricing Method: Theoretical and Empirical Study


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Overview

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.

Full Product Details

Author:   Jian Chen
Publisher:   Springer Verlag, Singapore
Imprint:   Springer Verlag, Singapore
Edition:   Softcover reprint of the original 1st ed. 2018
Dimensions:   Width: 15.50cm , Height: 1.00cm , Length: 23.50cm
Weight:   0.278kg
ISBN:  

9789811339509


ISBN 10:   9811339503
Pages:   164
Publication Date:   29 December 2018
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   Manufactured on demand   Availability explained
We will order this item for you from a manufactured on demand supplier.

Table of Contents

Chapter1.Introduction.- Chapter2.General Equilibrium Option Pricing Models.- Chapter3.Simulation Comparison.- Chapter4.Empirical Comparison.- Chapter5.Fanning Preference and Option Pricing.- Chapter6.Jump Size Distribution and Option Pricing.- Chapter7.Risk Aversion Estimated From Variance Risk Premium.-Chapter8.Predictability of Variance Risk Premium: Hong Kong Evidence.- Chapter9.Predictability of Variance Risk Premium:Other International Evidence.- Chapter10.Predictability of Variance Risk Premium:A Comparison Study.- Chapter11.Conclusions.

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