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General Equilibrium Option Pricing Method: Theoretical and Empirical Study

Bag om General Equilibrium Option Pricing Method: Theoretical and Empirical Study

This book mainly addresses the general equilibrium asset pricing method in two aspects: option pricing and variance risk premium. 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.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9789811339509
  • Indbinding:
  • Paperback
  • Sideantal:
  • 164
  • Udgivet:
  • 29. december 2018
  • Udgave:
  • 12018
  • Størrelse:
  • 155x235x0 mm.
  • Vægt:
  • 454 g.
  • BLACK NOVEMBER
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Leveringstid: 8-11 hverdage
Forventet levering: 7. december 2024

Beskrivelse af General Equilibrium Option Pricing Method: Theoretical and Empirical Study

This book mainly addresses the general equilibrium asset pricing method in two aspects: option pricing and variance risk premium. 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.

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