General Equilibrium Option Pricing Method: Theoretical and Empirical Study
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 explai...
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|---|---|
| Médium: | Elektronický zdroj E-kniha |
| Jazyk: | angličtina |
| Vydáno: |
Singapore :
Springer Singapore ,
2018.
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| Vydání: | 1st ed. 2018. |
| Témata: | |
| ISBN: | 9789811074288 |
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|---|---|---|---|
| 003 | SK-BrCVT | ||
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| 007 | cr nn 008mamaa | ||
| 008 | 180410s2018 si | s |||| 0|eng d | ||
| 020 | |a 9789811074288 | ||
| 024 | 7 | |a 10.1007/978-981-10-7428-8 |2 doi | |
| 035 | |a CVTIDW09648 | ||
| 040 | |a Springer-Nature |b eng |c CVTISR |e AACR2 | ||
| 041 | |a eng | ||
| 100 | 1 | |a Chen, Jian. |4 aut | |
| 245 | 1 | 0 | |a General Equilibrium Option Pricing Method: Theoretical and Empirical Study |h [electronic resource] / |c by Jian Chen. |
| 250 | |a 1st ed. 2018. | ||
| 260 | 1 | |a Singapore : |b Springer Singapore , |c 2018. | |
| 300 | |a XI, 164 p. 31 illus., 10 illus. in color. |b online resource. | ||
| 500 | |a Economics and Finance | ||
| 505 | 0 | |a 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. | |
| 516 | |a text file PDF | ||
| 520 | |a 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. | ||
| 650 | 0 | |a Finance, Public. | |
| 650 | 0 | |a Macroeconomics. | |
| 650 | 0 | |a Economic theory. | |
| 856 | 4 | 0 | |u http://hanproxy.cvtisr.sk/han/cvti-ebook-springer-eisbn-978-981-10-7428-8 |y Vzdialený prístup pre registrovaných používateľov |
| 910 | |b ZE06928 | ||
| 919 | |a 978-981-10-7428-8 | ||
| 974 | |a andrea.lebedova |f Elektronické zdroje | ||
| 992 | |a SUD | ||
| 999 | |c 275347 |d 275347 | ||