强化
发表于 2025-3-28 16:40:20
General Equilibrium Option Pricing ModelsThis section briefly introduces the market structure, the optimal choice problem, and the non-expected recursive utility in a continuous-time pure exchange economy.
被诅咒的人
发表于 2025-3-28 20:42:57
ConclusionsResorting to the general equilibrium model based on the fanning preference, this book obtains the market risk premium, jump risk premium, variance risk premium, and covariance risk premium in equilibrium. In particular, all these risk premiums are controlled by both the risk aversion and the fanning effect.
混乱生活
发表于 2025-3-29 01:21:33
Introduction to Cognitive Enhancement,e the jump risk and variance risk implicit in option prices, and highlight the important role of fanning preference in pricing European options; (3) construct the variance risk premium using option prices and test the predictability of variance risk premium for future excess stock returns.
假装是我
发表于 2025-3-29 05:44:20
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舔食
发表于 2025-3-29 09:22:56
Introductione the jump risk and variance risk implicit in option prices, and highlight the important role of fanning preference in pricing European options; (3) construct the variance risk premium using option prices and test the predictability of variance risk premium for future excess stock returns.
Ophthalmoscope
发表于 2025-3-29 13:14:27
Simulation Comparisonstate price density and the pricing kernel are not unique. In order to price options in an incomplete market, either a candidate pricing kernel is used for the risk-neutral evaluation approach, or a general pricing framework built on the equilibrium exchange economy of Lucas (Econometrica, 46:1429–1445, 1978) is required.
替代品
发表于 2025-3-29 18:30:53
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恃强凌弱的人
发表于 2025-3-29 21:57:44
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