General Equilibrium Option Pricing Method : Theoretical and Empirical Study / Jian Chen.
Chen, Jian, author.
2018
HD4928.S74
Available Online

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Title General Equilibrium Option Pricing Method : Theoretical and Empirical Study / Jian Chen.
Author Chen, Jian, author.
ISBN 9789811074288 (electronic book)
9811074283 (electronic book)
9789811074271
9811074275
DOI https://doi.org/10.1007/978-981-10-7428-8
Published Singapore : Springer, 2018.
Language English
Description 1 online resource.
Other Standard Identifiers 10.1007/978-981-10-7428-8 doi
Call Number HD4928.S74
Dewey Decimal Classification 332.632
Summary 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.
Bibliography, etc. Note Includes bibliographical references.
Access Note Access limited to authorized users.
Digital File Characteristics text file PDF
Source of Description Online resource; title from PDF title page (viewed April 17, 2018).
Available in Other Form Print version: 9789811074271
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Chapter1.Introduction
Chapter2.General Equilibrium Option Pricing Models
Chapter3.Simulation Comparison
Chapter4.Empirical Comparison
Chapter5.Fanning Preference and Option Pricing
Chapter6.Jump Size Distribution and Option Pricing
Chapter7.Risk Aversion Estimated From Variance Risk Premium.-Chapter8.Predictability of Variance Risk Premium: Hong Kong Evidence
Chapter9.Predictability of Variance Risk Premium:Other International Evidence
Chapter10.Predictability of Variance Risk Premium:A Comparison Study
Chapter11.Conclusions.

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