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General equilibrium option pricing m...

Chen, Jian.

General equilibrium option pricing methodtheoretical and empirical study /

Record Type:	Electronic resources : Monograph/item
Title/Author:	General equilibrium option pricing methodby Jian Chen.
Reminder of title:	theoretical and empirical study /
Author:	Chen, Jian.
Published:	Singapore :Springer Singapore :2018.
Description:	xi, 164 p. :ill., digital ;24 cm.
Contained By:	Springer eBooks
Subject:	Restricted stock optionsMathematical models.
Online resource:	http://dx.doi.org/10.1007/978-981-10-7428-8
ISBN:	9789811074288$q(electronic bk.)

General equilibrium option pricing methodtheoretical and empirical study /
Chen, Jian.

General equilibrium option pricing methodtheoretical and empirical study /[electronic resource] :by Jian Chen. - Singapore :Springer Singapore :2018. - xi, 164 p. :ill., digital ;24 cm.

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$q(electronic bk.)

Standard No.: 10.1007/978-981-10-7428-8doiSubjects--Topical Terms:

809339
Restricted stock options
--Mathematical models.

LC Class. No.: HD4928.S74 / C446 2018

Dewey Class. No.: 332.632

General equilibrium option pricing methodtheoretical and empirical study /
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245 1 0 $a General equilibrium option pricing method $h [electronic resource] : $b theoretical and empirical study / $c by Jian Chen.
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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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950 $a Economics and Finance (Springer-41170)