Name
Abstract | ||
|---|---|---|
This work considers the equilibrium approach of asset pricing for Levy process. It derives the equity premium and pricing kernel analytically for the stock price process, obtains an equilibrium option pricing formula, and explains some empirical evidence such as the negative variance risk premium, implied volatility smirk, and negative skewness risk premium by comparing the physical and risk-neutral distributions of the log return. Different from most of the current studies in equilibrium pricing under jump diffusion models, this work models the underlying asset price as the exponential of a Levy process and thus allows nearly an arbitrage distribution of the jump component. (C) 2012 Elsevier B.V. All rights reserved. |
Year | DOI | Venue |
|---|---|---|
2012 | 10.1016/j.ejor.2012.06.037 | European Journal of Operational Research |
Keywords | Field | DocType |
Pricing,Equilibrium approach,Lévy process,Equity risk premium,Variance risk premium | Econometrics,Financial economics,Economics,Mathematical optimization,Equity premium puzzle,Investment theory,Rational pricing,Risk premium,Jump diffusion,Consumption-based capital asset pricing model,Capital asset pricing model,Arbitrage pricing theory | Journal |
Volume | Issue | ISSN |
223 | 3 | 0377-2217 |
Citations | PageRank | References |
1 | 0.35 | 5 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Jun Fu | 1 | 1 | 0.69 |
| Hailiang Yang | 2 | 62 | 12.18 |