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General equilibrium option pricing method = theoretical and empirical study /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	General equilibrium option pricing method/ by Jian Chen.
其他題名:	theoretical and empirical study /
作者:	Chen, Jian.
出版者:	Singapore :Springer Singapore : : 2018.,
面頁冊數:	xi, 164 p. :ill., digital ; : 24 cm.;
Contained By:	Springer eBooks
標題:	Restricted stock options - Mathematical models. -
電子資源:	http://dx.doi.org/10.1007/978-981-10-7428-8
ISBN:	9789811074288

General equilibrium option pricing method = theoretical and empirical study /
Chen, Jian.

General equilibrium option pricing methodtheoretical and empirical study /[electronic resource] :by Jian Chen. - Singapore :Springer Singapore :2018. - xi, 164 p. :ill., digital ;24 cm.

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.

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.

ISBN: 9789811074288

Standard No.: 10.1007/978-981-10-7428-8doiSubjects--Topical Terms:

1202093
Restricted stock options
--Mathematical models.

LC Class. No.: HD4928.S74 / C446 2018

Dewey Class. No.: 332.632

General equilibrium option pricing method = theoretical and empirical study /
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505 0 $a 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.
520 $a 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.
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