General Equilibrium Option Pricing Method: Theoretical and Empirical Study

By:

Jian Chen

Format:

Hardback

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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.

Release date NZ

April 20th, 2018

Author

Jian Chen

Audiences

Professional & Vocational
Tertiary Education (US: College)

Edition

1st ed. 2018

Illustrations

10 Illustrations, color; 21 Illustrations, black and white; XI, 164 p. 31 illus., 10 illus. in color.

Pages

164

ISBN-13

9789811074271

Product ID

27298409

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