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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:
  • Engelsk
  • ISBN:
  • 9789811339509
  • Bindende:
  • Paperback
  • Sider:
  • 164
  • Utgitt:
  • 29. desember 2018
  • Utgave:
  • 12018
  • Dimensjoner:
  • 155x235x0 mm.
  • Vekt:
  • 454 g.
  • BLACK NOVEMBER
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Leveringstid: 2-4 uker
Forventet levering: 19. desember 2024

Beskrivelse 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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