General Equilibrium Option Pricing Method: Theoretical and Empirical Study - Hardcover
Zu dieser ISBN ist aktuell kein Angebot verfügbar.
Alle Exemplare der Ausgabe mit dieser ISBN anzeigen:
<DIV>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.</DIV><DIV><BR/></DIV>
Die Inhaltsangabe kann sich auf eine andere Ausgabe dieses Titels beziehen.
Reseña del editor:
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.
„Über diesen Titel“ kann sich auf eine andere Ausgabe dieses Titels beziehen.
- VerlagSpringer
- Erscheinungsdatum2018
- ISBN 10 9811074275
- ISBN 13 9789811074271
- EinbandTapa dura
- Auflage1
- Anzahl der Seiten178
Neu kaufen
Mehr zu diesem Angebot erfahren
EUR 109,42
Versand:
EUR 32,99
Von Deutschland nach USA
Beste Suchergebnisse beim ZVAB
Foto des Verkäufers
General Equilibrium Option Pricing Method: Theoretical and Empirical Study
Verlag:
Springer Nature Singapore
(2018)
ISBN 10: 9811074275
ISBN 13: 9789811074271
Neu
Hardcover
Anzahl: 1
Anbieter:
Bewertung
Buchbeschreibung Buch. Zustand: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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. Artikel-Nr. 9789811074271
Weitere Informationen zu diesem Verkäufer | Verkäufer kontaktieren
Neu kaufen
EUR 109,42
Währung umrechnen