General Equilibrium Option Pricing Method: Theoretical and Empirical Study
- Indbinding:
- Hardback
- Sideantal:
- 164
- Udgivet:
- 20. april 2018
- Udgave:
- 12018
- Vægt:
- 436 g.
Leveringstid:
8-11 hverdage
Forventet levering: 21. november 2024
Beskrivelse af General Equilibrium Option Pricing Method: Theoretical and Empirical Study
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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