General Equilibrium Option Pricing Method: Theoretical and Empirical Study

by JianChen (Author)

• New

  Hardcover
  2018

  $138.46

  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.