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Cover Art
Author Chen, Jian, author.

Title General equilibrium option pricing method : theoretical and empirical study / Jian Chen.

Published Singapore : Springer, 2018.


Location Call No. Status
Physical description 1 online resource
Series Springer Economics and Finance eBooks 2018 English+International
Bibliography Includes bibliographical references.
Contents Chapter1. Introduction -- Chapter2. General Equilibrium Option Pricing Models -- Chapter3. Simulation Comparison -- Chapter4. Empirical Comparison -- Chapter5. Fanning Preference and Option Pricing -- Chapter6. Jump Size Distribution and Option Pricing -- Chapter7. Risk Aversion Estimated From Variance Risk Premium.-Chapter8. Predictability of Variance Risk Premium: Hong Kong Evidence -- Chapter9. Predictability of Variance Risk Premium:Other International Evidence -- Chapter10. Predictability of Variance Risk Premium:A Comparison Study -- Chapter11. Conclusions.
Summary 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.
Other author SpringerLink issuing body.
Subject Restricted stock options -- Mathematical models.
Securities -- Prices -- Mathematical models.
Equilibrium (Economics)
Electronic books.
Electronic books.
ISBN 9789811074288 (electronic bk.)
9811074283 (electronic bk.)
Standard Number 10.1007/978-981-10-7428-8