Abstract

This book aims to (1) introduce the general equilibrium option pricing method and compare different models numerically and empirically; (2) investigate 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.

Copyright information

© Xiamen University Press and Springer Nature Singapore Pte Ltd. 2018

Authors and Affiliations

  1. 1.Department of Finance, School of EconomicsXiamen UniversityXiamenChina

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