Titlebook: General Equilibrium Option Pricing Method: Theoretical and Empirical Study; Jian Chen Book 2018 Xiamen University Press and Springer Natur

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胆小鬼

FUSE

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Fanning Out Preference and Option Pricingetter price the cross-sectional index options, a vast literature suggests more general models incorporating the stochastic volatility and the jump (see, for example, (Bates (1996). Review of Financial Studies 9, 69–108, Bates (2000). Journal of Econometrics 94, 181–238, Bakshi, Cao and Chen (1997).

Commonplace

Jump Size Distributions and Option Pricingeyness and the heavy-tailed asset return distribution implied by option prices. Both abnormalities are caused by the existence of rare disasters or tail events in asset returns. Rubinstein (J Financ 49, 771–818, 1994) find that the implied volatility across moneyness becomes skewed since October 198

brachial-plexus

Risk Aversion Estimated from Volatility Spread strand focuses on the model-free realized volatility calculated by summing intraday high-frequency returns over short time intervals. The volatility constructed in this way is an unbiased and highly efficient estimator. This approach has been popularized by Andersen, Bollerslev, Diebold (Some like

brachial-plexus

Predictability of VRP: Hongkong Evidenceel family, i.e. GARCH type model proposed by Engle (1982) (Econometrica 50(4), 987–1007, 1982) and Bollerslev (1986) (J Econom 31, 307–327, 1986) is used to model the fat-tail and the volatility clustering of stock return. On the other hand, the stochastic volatility model (Heston in Rev Financ Stud

神圣在玷污

爆米花

Predictability of VRP: A Comparison Studyf the underlying return, quantified by the return variance. When holding the market portfolio, however, an investor is also bearing the uncertainty of the variance itself. Just like the equity premium demanded by investors is the result of fear to the uncertainty of future returns, a variance risk p

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