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Books > Business & Economics > Finance & accounting > Finance > Investment & securities
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General Equilibrium Option Pricing Method: Theoretical and Empirical Study (Hardcover, 1st ed. 2018)
Loot Price: R2,789
Discovery Miles 27 890
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General Equilibrium Option Pricing Method: Theoretical and Empirical Study (Hardcover, 1st ed. 2018)
Expected to ship within 10 - 15 working days
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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
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