General Equilibrium Option Pricing Method Theoretical and Empirical Study 1st ed. 2018 edition

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General Equilibrium Option Pricing Method Theoretical and Empirical Study 1st ed. 2018 edition

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.

164 pages, 10 Illustrations, color; 21 Illustrations, black and white; XI, 164 p. 31 illus., 10 illu