General Equilibrium Option Pricing Method: Theoretical and Empirical Study (PDF)
(Sprache: Englisch)
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...
sofort als Download lieferbar
eBook (pdf)
Fr. 118.00
inkl. MwSt.
- Kreditkarte, Paypal, Rechnung
- Kostenloser tolino webreader
Produktdetails
Produktinformationen zu „General Equilibrium Option Pricing Method: Theoretical and Empirical Study (PDF)“
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.
Bibliographische Angaben
- Autor: Jian Chen
- 2018, 1st ed. 2018, 164 Seiten, Englisch
- Verlag: Springer-Verlag GmbH
- ISBN-10: 9811074283
- ISBN-13: 9789811074288
- Erscheinungsdatum: 10.04.2018
Abhängig von Bildschirmgrösse und eingestellter Schriftgrösse kann die Seitenzahl auf Ihrem Lesegerät variieren.
eBook Informationen
- Dateiformat: PDF
- Grösse: 3.98 MB
- Ohne Kopierschutz
- Vorlesefunktion
Sprache:
Englisch
Kommentar zu "General Equilibrium Option Pricing Method: Theoretical and Empirical Study"
0 Gebrauchte Artikel zu „General Equilibrium Option Pricing Method: Theoretical and Empirical Study“
| Zustand | Preis | Porto | Zahlung | Verkäufer | Rating |
|---|
Schreiben Sie einen Kommentar zu "General Equilibrium Option Pricing Method: Theoretical and Empirical Study".
Kommentar verfassen