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General Equilibrium Option Pricing Method: Theoretical and Empirical Study

Record Type:	Language materials, printed : Monograph/item
Title/Author:	General Equilibrium Option Pricing Method: Theoretical and Empirical Study/ by Jian Chen.
Author:	Chen, Jian.
Description:	XI, 164 p. 31 illus., 10 illus. in color.online resource. :
Contained By:	Springer Nature eBook
Subject:	Finance, Public. -
Online resource:	https://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 Method: Theoretical and Empirical Study[electronic resource] /by Jian Chen. - 1st ed. 2018. - XI, 164 p. 31 illus., 10 illus. in color.online resource.

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:

556260
Finance, Public.

LC Class. No.: HJ9-9940

Dewey Class. No.: 336

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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