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

強化

General Equilibrium Option Pricing ModelsThis section briefly introduces the market structure, the optimal choice problem, and the non-expected recursive utility in a continuous-time pure exchange economy.

被詛咒的人

ConclusionsResorting 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.

混亂生活

Introduction to Cognitive Enhancement,e the jump risk and variance risk implicit in option prices, and highlight the important role of fanning preference in pricing European options; (3) construct the variance risk premium using option prices and test the predictability of variance risk premium for future excess stock returns.

假裝是我

舔食

Introductione the jump risk and variance risk implicit in option prices, and highlight the important role of fanning preference in pricing European options; (3) construct the variance risk premium using option prices and test the predictability of variance risk premium for future excess stock returns.

Ophthalmoscope

Simulation Comparisonstate price density and the pricing kernel are not unique. In order to price options in an incomplete market, either a candidate pricing kernel is used for the risk-neutral evaluation approach, or a general pricing framework built on the equilibrium exchange economy of Lucas (Econometrica, 46:1429–1445, 1978) is required.

替代品

恃強凌弱的人