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General Equilibrium Option Pricing Method: Theoretical and Empirical Study

Language EnglishEnglish
Book Paperback
Book General Equilibrium Option Pricing Method: Theoretical and Empirical Study Jian Chen
Libristo code: 21204567
Publishers Springer Verlag, Singapore, December 2018
This book mainly addresses the general equilibrium asset pricing method in two aspects: option prici... Full description
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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.

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About the book

Full name General Equilibrium Option Pricing Method: Theoretical and Empirical Study
Author Jian Chen
Language English
Binding Book - Paperback
Date of issue 2018
Number of pages 164
EAN 9789811339509
ISBN 9811339503
Libristo code 21204567
Publishers Springer Verlag, Singapore
Weight 454
Dimensions 155 x 235 x 10

Categories

Economics, Finance, Business & Management > Finance & accounting > Finance > Public finance & taxation
Economics, Finance, Business & Management > Economics > Economic theory & philosophy
Economics, Finance, Business & Management > Economics > Macroeconomics
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