General Equilibrium Option Pricing Method Theoretical and Empirical Study

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Synopsis

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.

Book details

Author:
Jian Chen
ISBN:
9789811074288
Related ISBNs:
9789811074271
Publisher:
Springer Singapore, Singapore
Pages:
N/A
Reading age:
Not specified
Includes images:
Yes
Date of addition:
2018-11-07
Usage restrictions:
Copyright
Copyright date:
2018
Copyright by:
Xiamen University Press and Springer Nature Singapore Pte Ltd. 
Adult content:
No
Language:
English
Categories:
Business and Finance, Nonfiction