General Equilibrium Option Pricing Method: Theoretical and Empirical Study

Author:   Jian Chen
Publisher:   Springer Verlag, Singapore
Edition:   1st ed. 2018
ISBN:  

9789811074271


Pages:   164
Publication Date:   20 April 2018
Format:   Hardback
Availability:   Manufactured on demand   Availability explained
We will order this item for you from a manufactured on demand supplier.

Our Price $258.72 Quantity:  
Add to Cart

Share |

General Equilibrium Option Pricing Method: Theoretical and Empirical Study


Add your own review!

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:   1st ed. 2018
Weight:   0.436kg
ISBN:  

9789811074271


ISBN 10:   9811074275
Pages:   164
Publication Date:   20 April 2018
Audience:   College/higher education ,  Professional and scholarly ,  Tertiary & Higher Education ,  Professional & Vocational
Format:   Hardback
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

Reviews

Author Information

Tab Content 6

Author Website:  

Customer Reviews

Recent Reviews

No review item found!

Add your own review!

Countries Available

All regions
Summer Reading Guide

 

Shopping Cart
Your cart is empty
Shopping cart
Mailing List