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General Equilibrium Option Pricing Method: Theoretical and Empirical Study (Hardcover, 1st ed. 2018) Loot Price: R2,653
Discovery Miles 26 530
Repayment Terms: R249 pm x 12*
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General Equilibrium Option Pricing Method: Theoretical and Empirical Study (Hardcover, 1st ed. 2018): Jian Chen

General Equilibrium Option Pricing Method: Theoretical and Empirical Study (Hardcover, 1st ed. 2018)

Jian Chen

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Loot Price R2,653 Discovery Miles 26 530 | Repayment Terms: R249 pm x 12*

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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.

General

Imprint: Springer Verlag, Singapore
Country of origin: Singapore
Release date: April 2018
First published: 2018
Authors: Jian Chen
Dimensions: 235 x 155mm (L x W)
Format: Hardcover
Pages: 164
Edition: 1st ed. 2018
ISBN-13: 978-981-10-7427-1
Categories: Books > Business & Economics > Economics > Economic theory & philosophy
Books > Business & Economics > Finance & accounting > Finance > Investment & securities > General
Books > Money & Finance > Investment & securities > General
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LSN: 981-10-7427-5
Barcode: 9789811074271

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