General Equilibrium Option Pricing Method: Theoretical and Empirical Study
1st Edition
Published on 10. April 2018
XI, 164 pages
978-981-10-7428-8 (ISBN)
Description
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.
More details
Series
Language
English
Place of publication
Singapore
Singapore
Publishing group
Springer Singapore
Target group
Professional and scholarly
Product notice
Reflowable
Illustrations
XI, 164 p. 31 illus., 10 illus. in color.
File size
4,18 MB
ISBN-13
978-981-10-7428-8 (9789811074288)
DOI
10.1007/978-981-10-7428-8
Schweitzer Classification
Other editions
Additional editions
Book
04/2018
Springer
€106.99
Shipment within 15-20 days
Content
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.
