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OverviewThis 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 DetailsAuthor: Jian ChenPublisher: Springer Verlag, Singapore Imprint: Springer Verlag, Singapore Edition: 1st ed. 2018 Weight: 0.436kg ISBN: 9789811074271ISBN 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  We will order this item for you from a manufactured on demand supplier. Table of ContentsReviewsAuthor InformationTab Content 6Author Website:Countries AvailableAll regions |
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