General Equilibrium Option Pricing Method: Theoretical and Empirical Study

Authors: Chen, Jian

  • Applies the general equilibrium approach in explaining the puzzle
  • Proposes variance risk premium and empirically tests its predictive power for international stock market returns
  • Elaborates the international stock market
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eBook 95,19 €
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  • ISBN 978-981-10-7428-8
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Hardcover 119,59 €
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  • ISBN 978-981-10-7427-1
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About this book

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.

Table of contents (11 chapters)

Buy this book

eBook 95,19 €
price for Spain (gross)
  • ISBN 978-981-10-7428-8
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover 119,59 €
price for Spain (gross)
  • ISBN 978-981-10-7427-1
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
  • The final prices may differ from the prices shown due to specifics of VAT rules
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Bibliographic Information

Bibliographic Information
Book Title
General Equilibrium Option Pricing Method: Theoretical and Empirical Study
Authors
Copyright
2018
Publisher
Springer Singapore
Copyright Holder
Xiamen University Press and Springer Nature Singapore Pte Ltd.
eBook ISBN
978-981-10-7428-8
DOI
10.1007/978-981-10-7428-8
Hardcover ISBN
978-981-10-7427-1
Edition Number
1
Number of Pages
XI, 164
Number of Illustrations and Tables
21 b/w illustrations, 10 illustrations in colour
Additional Information
Jointly published with Xiamen University Press, Fujian Province, China
Topics