TY - BOOK ID - 32941301 TI - General Equilibrium Option Pricing Method: Theoretical and Empirical Study PY - 2018 SN - 9811074283 9811074275 9789811074271 PB - Singapore : Springer Singapore : Imprint: Springer, DB - UniCat KW - Securities KW - Prices KW - Mathematical models. KW - Finance. KW - Finance, Public. KW - Economic theory. KW - Macroeconomics. KW - Public Finance. KW - Macroeconomics/Monetary Economics//Financial Economics. KW - Economic Theory/Quantitative Economics/Mathematical Methods. KW - Economic theory KW - Political economy KW - Social sciences KW - Economic man KW - Economics KW - Cameralistics KW - Public finance KW - Currency question KW - Public finances UR - https://www.unicat.be/uniCat?func=search&query=sysid:32941301 AB - 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 applies the general equilibrium approach in explaining the puzzle. 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. Second, based on the general equilibrium framework, this book proposes variance risk premium and empirically tests its predictive power for international stock market returns. ER -