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General Equilibrium Option Pricing Method: Theoretical And Empirical Study

by Jian Chen
language: english
Publisher: SPRINGER VERLAG, SINGAPORE, December of 2018 ‧
121,66€
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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.

General Equilibrium Option Pricing Method: Theoretical And Empirical Study

by Jian Chen

Property Description
ISBN: 9789811339509
Publisher: SPRINGER VERLAG, SINGAPORE
Release Date: December of 2018
Language: English
Dimensions: 155 x 235 x 20 mm
Cover: Softcover
Pages: 164
Format: Book
Categories: Books in English > Economics, Finance and Accounting > Economy
EAN: 9789811339509