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Focusing on the general equilibrium asset pricing method, the book delves into option pricing and variance risk premium. It addresses the volatility smile and smirk puzzles through a general equilibrium lens, highlighting how investors prioritize jump risk over volatility risk, resulting in a notable volatility smirk. Additionally, it introduces the concept of variance risk premium within this framework and empirically tests its predictive capabilities for international stock market returns, offering fresh insights into asset pricing dynamics.
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General Equilibrium Option Pricing Method: Theoretical and Empirical Study, Jian Chen
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- Pubblicato
- 2018
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