Titlebook: General Equilibrium Option Pricing Method: Theoretical and Empirical Study; Jian Chen Book 2018 Xiamen University Press and Springer Natur

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Péter Baranyi,Adam Csapo,Gyula Sallaiof Heston (Rev Financ Stud, 6:327–343, 1993) and the Poisson jump of Merton (J Financ Econ, 4:125–144, 1976). See for example, Bates (Rev Financ Stud, 9:69–108, 1996, J Econometr, 94:181–238, 2000) and Bakshi (J Financ, 52:2003–2049, 1997). Huang (J Financ, 59:1405–1439, 2004) and Carr and Wu (J Fin

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VAN

Konstruktivistische Kognitionsmodellierung,eyness and the heavy-tailed asset return distribution implied by option prices. Both abnormalities are caused by the existence of rare disasters or tail events in asset returns. Rubinstein (J Financ 49, 771–818, 1994) find that the implied volatility across moneyness becomes skewed since October 198

新陳代謝

Takayuki Kanda,Takahiro Miyashita strand focuses on the model-free realized volatility calculated by summing intraday high-frequency returns over short time intervals. The volatility constructed in this way is an unbiased and highly efficient estimator. This approach has been popularized by Andersen, Bollerslev, Diebold (Some like

APEX

Anonymous

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https://doi.org/10.1007/978-3-662-52952-2f the underlying return, quantified by the return variance. When holding the market portfolio, however, an investor is also bearing the uncertainty of the variance itself. Just like the equity premium demanded by investors is the result of fear to the uncertainty of future returns, a variance risk p

GENRE

,Gambler’s Fallacy and Hot Hand Fallacy,This section briefly introduces the market structure, the optimal choice problem, and the non-expected recursive utility in a continuous-time pure exchange economy.

元音

Extrahepatic Biliary Tract and Gallbladder,Resorting to the general equilibrium model based on the fanning preference, this book obtains the market risk premium, jump risk premium, variance risk premium, and covariance risk premium in equilibrium. In particular, all these risk premiums are controlled by both the risk aversion and the fanning effect.