General Equilibrium Option Pricing Method: Theoretical and Empirical Study
Softcover Reprint of the Original 1st 2018 ed.
by
Jian Chen
Book Details
Format
Paperback / Softback
ISBN-10
9811339503
ISBN-13
9789811339509
Edition
Softcover Reprint of the Original 1st 2018 ed.
Publisher
Springer Verlag, Singapore
Imprint
Springer Verlag, Singapore
Country of Manufacture
GB
Country of Publication
GB
Publication Date
Dec 29th, 2018
Print length
164 Pages
Ksh 16,200.00
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Quality
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This book mainly addresses the general equilibrium asset pricing method in two aspects: option pricing and variance risk premium. 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.
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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