General equilibrium option pricing method: theoretical and empirical study
Auteur :
Chen, Jian
Éditeur :
Springer Verlag, Singapore
ISBN :
9789811339509
Date de publication :
29 déc. 2018
Dimensions :
23,5 x 15,5 cm
Langue :
Anglais
Pays d'origine :
Singapour
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.