LEADER 03146nam  22004935  450 
001 9910299642703321
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010   $a981-10-7428-3
024 7 $a10.1007/978-981-10-7428-8
035   $a(CKB)4100000003359724
035   $a(MiAaPQ)EBC5345491
035   $a(DE-He213)978-981-10-7428-8
035   $a(EXLCZ)994100000003359724
100   $a20180410d2018      u|         0
101 0 $aeng
135   $aurcnu||||||||
181   $ctxt$2rdacontent
182   $cc$2rdamedia
183   $acr$2rdacarrier
200 10$aGeneral Equilibrium Option Pricing Method: Theoretical and Empirical Study /$fby Jian Chen
205   $a1st ed. 2018.
210  1$aSingapore :$cSpringer Singapore :$cImprint: Springer,$d2018.
215   $a1 online resource (163 pages)
311   $a981-10-7427-5 
327   $aChapter1.Introduction -- Chapter2.General Equilibrium Option Pricing Models -- Chapter3.Simulation Comparison -- Chapter4.Empirical Comparison -- Chapter5.Fanning Preference and Option Pricing -- Chapter6.Jump Size Distribution and Option Pricing -- Chapter7.Risk Aversion Estimated From Variance Risk Premium.-Chapter8.Predictability of Variance Risk Premium: Hong Kong Evidence -- Chapter9.Predictability of Variance Risk Premium:Other International Evidence -- Chapter10.Predictability of Variance Risk Premium:A Comparison Study -- Chapter11.Conclusions.
330   $aThis book mainly addresses the general equilibrium asset pricing method in two aspects: option pricing and variance risk premium. First, volatility smile and smirk is the famous puzzle in option pricing. Different from no arbitrage method, this book applies the general equilibrium approach in explaining the puzzle. 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. Second, based on the general equilibrium framework, this book proposes variance risk premium and empirically tests its predictive power for international stock market returns.
606   $aFinance, Public
606   $aMacroeconomics
606   $aEconomic theory
606   $aPublic Finance$3https://scigraph.springernature.com/ontologies/product-market-codes/611000
606   $aMacroeconomics/Monetary Economics//Financial Economics$3https://scigraph.springernature.com/ontologies/product-market-codes/W32000
606   $aEconomic Theory/Quantitative Economics/Mathematical Methods$3https://scigraph.springernature.com/ontologies/product-market-codes/W29000
615  0$aFinance, Public.
615  0$aMacroeconomics.
615  0$aEconomic theory.
615 14$aPublic Finance.
615 24$aMacroeconomics/Monetary Economics//Financial Economics.
615 24$aEconomic Theory/Quantitative Economics/Mathematical Methods.
676   $a332.632
700   $aChen$b Jian$4aut$4http://id.loc.gov/vocabulary/relators/aut$0410581
906   $aBOOK
912   $a9910299642703321
996   $aGeneral Equilibrium Option Pricing Method: Theoretical and Empirical Study$92526371
997   $aUNINA