General Equilibrium Option Pricing Method: Theoretical and Empirical Study

En savoir plus sur le livre

Focusing on the general equilibrium asset pricing method, the book explores option pricing and variance risk premium. It addresses the volatility smile and smirk, explaining the phenomenon through a general equilibrium lens rather than no arbitrage. The presence of jump risk leads investors to prioritize jump risk premiums, resulting in a distinct volatility smirk. Additionally, it introduces the concept of variance risk premium and tests its predictive power for international stock market returns, offering valuable insights into asset pricing dynamics.