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General Equilibrium Option Pricing Method: Theoretical and Empirical Study

Om 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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  • Språk:
  • Engelska
  • ISBN:
  • 9789811339509
  • Format:
  • Häftad
  • Sidor:
  • 164
  • Utgiven:
  • 29. december 2018
  • Utgåva:
  • 12018
  • Mått:
  • 155x235x0 mm.
  • Vikt:
  • 454 g.
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Leveranstid: 2-4 veckor
Förväntad leverans: 30. januari 2025

Beskrivning av 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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