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General Equilibrium Option Pricing Method: Theoretical and Empirical Study [electronic resource] / by Jian Chen

Author
Chen, Jian (Professor of finance)
Published
Singapore : Springer Singapore : Imprint: Springer, 2018.
Physical Description
XI, 164 pages 31 illustrations, 10 illustrations in color : online resource
Additional Creators
SpringerLink (Online service)
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Contents
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.
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.
Subject(s)
ISBN
9789811074288
Digital File Characteristics
PDF
text file
Part Of
Springer eBooks
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