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General Equilibrium Option Pricing Method : Theoretical and Empirical Study, ...

Description: General Equilibrium Option Pricing Method : Theoretical and Empirical Study, Hardcover by Chen, Jian, ISBN 9811074275, ISBN-13 9789811074271, Like New Used, Free P&P in the UK

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.

Price: 89.63 GBP

Location: Castle Donington

End Time: 2024-12-04T08:49:36.000Z

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General Equilibrium Option Pricing Method : Theoretical and Empirical Study, ...

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Book Title: General Equilibrium Option Pricing Method : Theoretical and Empir

Number of Pages: 164 Pages

Language: English

Publication Name: General Equilibrium Option Pricing Method: Theoretical and Empirical Study

Publisher: Springer Verlag, Singapore

Publication Year: 2018

Subject: Economics, Finance

Item Height: 235 mm

Item Weight: 436 g

Type: Textbook

Author: Jian Chen

Item Width: 155 mm

Format: Hardcover

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