General Equilibrium Option Pricing Method: Theoretical and Empirical Study
Jian Chen
Springer Verlag, Singapore, 2018
121,95 €On orderDelivery: 2-3 weeks
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.
- ISBN-13
- 9789811339509
- ISBN-10
- 9811339503
- Publisher
- Springer Verlag, Singapore
- Year
- 2018
- Publication date
- 2018-12-29
- Pages
- 164
- Dimensions
- 235x155x