General Equilibrium Option Pricing Method: Theoretical and Empirical Study

• Κύριος συγγραφέας: Chen, Jian (Συγγραφέας, http://id.loc.gov/vocabulary/relators/aut)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Singapore : Springer Singapore : Imprint: Springer, 2018.
• Έκδοση: 1st ed. 2018.
• Θέματα: Finance, Public.; Macroeconomics.; Economic theory.; Public Finance.; Macroeconomics/Monetary Economics//Financial Economics.; Economic Theory/Quantitative Economics/Mathematical Methods.

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 explai...

Πίνακας περιεχομένων:

• 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.