國立高雄大學圖資館 |

語系: 繁體中文

說明(常見問題)

圖資館首頁

登入

回首頁

切換: 標籤 | MARC模式 | ISBD

General equilibrium option pricing m...

Chen, Jian.

General equilibrium option pricing methodtheoretical and empirical study /

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	General equilibrium option pricing methodby Jian Chen.
其他題名:	theoretical and empirical study /
作者:	Chen, Jian.
出版者:	Singapore :Springer Singapore :2018.
面頁冊數:	xi, 164 p. :ill., digital ;24 cm.
Contained By:	Springer eBooks
標題:	Restricted stock optionsMathematical models.
電子資源:	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 /
LDR:02224nmm a2200313 a 4500 001 533573
003 DE-He213
005 20180911100329.0
006 m d
007 cr nn 008maaau
008 181205s2018 si s 0 eng d
020 $a 9789811074288$q(electronic bk.)
020 $a 9789811074271$q(paper)
024 7 $a 10.1007/978-981-10-7428-8 $2 doi
035 $a 978-981-10-7428-8
040 $a GP $c GP
041 0 $a eng
050 4 $a HD4928.S74 $b C446 2018
072 7 $a KFFD $2 bicssc
072 7 $a BUS051000 $2 bisacsh
082 0 4 $a 332.632 $2 23
090 $a HD4928.S74 $b C518 2018
100 1 $a Chen, Jian. $3 489374
245 1 0 $a General equilibrium option pricing method $h [electronic resource] : $b theoretical and empirical study / $c by Jian Chen.
260 $a Singapore : $b Springer Singapore : $b Imprint: Springer, $c 2018.
300 $a xi, 164 p. : $b ill., digital ; $c 24 cm.
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.
650 0 $a Restricted stock options $x Mathematical models. $3 809339
650 0 $a Securities $x Prices $x Mathematical models. $3 183334
650 1 4 $a Finance. $3 183252
650 2 4 $a Public Finance. $3 739648
650 2 4 $a Macroeconomics/Monetary Economics/Financial Economics. $3 737439
650 2 4 $a Economic Theory/Quantitative Economics/Mathematical Methods. $3 731081
710 2 $a SpringerLink (Online service) $3 273601
773 0 $t Springer eBooks
856 4 0 $u http://dx.doi.org/10.1007/978-981-10-7428-8
950 $a Economics and Finance (Springer-41170)