General Equilibrium Option Pricing Method: Theoretical and Empirical Study
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Form:Einzelkauf Download
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Sprache:Englisch
Fr. 125.90
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Format
Kopierschutz
Nein
Family Sharing
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Erscheinungsdatum
10.04.2018
Verlag
Springer Nature SingaporeSeitenzahl
164 (Printausgabe)
Dateigröße
4178 KB
Sprache
Englisch
EAN
9789811074288
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.
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