General Equilibrium Option Pricing Method: Theoretical and Empirical Study
This 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 appli
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General Equilibrium Option Pricing Method: Theoretical and Empirical Study
General Equilibrium Option Pricing Method: Theoretical and Empirical Study
Jian Chen
General Equilibrium Option Pricing Method: Theoretical and Empirical Study
123
Jian Chen Department of Finance, School of Economics Xiamen University Xiamen, Fujian China
ISBN 978-981-10-7427-1 ISBN 978-981-10-7428-8 https://doi.org/10.1007/978-981-10-7428-8
(eBook)
Jointly published with Xiamen University Press, Fujian Province, China The print edition is not for sale in China Mainland. Customers from China Mainland please order the print book from: Xiamen University Press. Library of Congress Control Number: 2017964427 © Xiamen University Press and Springer Nature Singapore Pte Ltd. 2018 This work is subject to copyright. All rights are reserved by the Publishers, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. The publishers, the authors and the editors are safe to assume that the advice and information in this book are believed to be true and accurate at the date of publication. Neither the publishers nor the authors or the editors give a warranty, express or implied, with respect to the material contained herein or for any errors or omissions that may have been made. The publisher remains neutral with regard to jurisdictional claims in published maps and institutional affiliations. Printed on acid-free paper This Springer imprint is published by the registered company Springer Nature Singapore Pte Ltd. part of Springer Nature The registered company address is: 152 Beach Road, #21-01/04 Gateway East, Singapore 189721, Singapore
To My Daughter and Wife
Acknowledgements
I am sincerely grateful to everyone who helped me directly and indirectly during my work on this book. First of all, I would like to deeply thank my wife, Ling Ouyang, for her moral support during the challenging period of writing this book and giving me the confidence to go for my objectives. I also acknowledge my parents for their belief, encouragement, and support. Further thanks go to my previous Ph.D. supervisor, Prof. Chenghu Ma. Chenghu provided me the first insights related to the general equilibrium topic and first motivated me to price jump risks implicit in the option market. His time, patience, guide, innovative idea, and constructive suggestions are invaluable. I am also greatly indebted to Haomiao Zuo who provides a great research assistant work for this book.
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