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General Equilibrium Option Pricing Method: Theoretical and Empirical Study
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General Equilibrium Option Pricing Method: Theoretical and Empirical Study

Forfatter:
innbundet, 2018
Engelsk
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.
Forfatter
Jian Chen
Opplag
2018 ed.
ISBN
9789811074271
Språk
Engelsk
Vekt
446 gram
Utgivelsesdato
20.4.2018
Antall sider
164