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

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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.

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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.

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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.

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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.

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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.

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