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Option Pricing with Variance-Dependent Pricing Kernel Under Multiple Volatility Components Model
Language: en
Pages:
Authors: 雷衣鼎
Categories:
Type: BOOK - Published: 2014 - Publisher:

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We take a similar form of pricing kernel which developed by Christoffersen et al (2013) to extend the multiple volatility components model. By that way, we can
The Role of Fat-tails, Multiple Variance Components, and Pricing Kernels in Option Pricing
Language: en
Pages:
Authors: Kadir Gokhan Babaoglu
Categories:
Type: BOOK - Published: 2016 - Publisher:

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My dissertation, composed of two chapters, explores the pricing of index and individual equity options contracts. These chapters make three modeling choices on
Option Valuation with Volatility Components, Fat Tails, and Non-Monotonic Pricing Kernels
Language: en
Pages: 53
Authors: Kadir Babaoglu
Categories:
Type: BOOK - Published: 2017 - Publisher:

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We nest multiple volatility components, fat tails and a U-shaped pricing kernel in a single option model and compare their contribution to describing returns an
General Equilibrium Option Pricing Method: Theoretical and Empirical Study
Language: en
Pages: 163
Authors: Jian Chen
Categories: Business & Economics
Type: BOOK - Published: 2018-04-10 - Publisher: Springer

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This book mainly addresses the general equilibrium asset pricing method in two aspects: option pricing and variance risk premium. First, volatility smile and sm
Preference-free Option Pricing with Path-dependent Volatility
Language: en
Pages: 24
Authors: Steven L. Heston
Categories: Options (Finance)
Type: BOOK - Published: 1998 - Publisher:

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