Téléchargez le livre : General Equilibrium Option Pricing Method: Theoretical and Empirical Study

General Equilibrium Option Pricing Method: Theoretical and Empirical Study

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Éditeur :

Springer


Paru le : 2018-04-10

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Description

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.
Pages
164 pages
Collection
n.c
Parution
2018-04-10
Marque
Springer
EAN papier
9789811074271
EAN PDF
9789811074288
Informations sur l'ebook
Nombre pages copiables
1
Nombre pages imprimables
16
Taille du fichier
4178 Ko
Prix
94,94 €

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