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General Equilibrium Option Pricing Method: Theoretical and Empirical Study

169,38 
169,38 
2025-07-31 169.3800 InStock
Nemokamas pristatymas į paštomatus per 18-22 darbo dienų užsakymams nuo 19,00 

Knygos aprašymas

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.

Informacija

Autorius: Jian Chen
Leidėjas: Springer Nature Singapore
Išleidimo metai: 2018
Knygos puslapių skaičius: 176
ISBN-10: 9811074275
ISBN-13: 9789811074271
Formatas: Knyga kietu viršeliu
Kalba: Anglų
Žanras: Public finance and taxation

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