內容簡介
陳堅編著的《一般均衡期定價方法(理論與實證研究)》主要介紹基於扇形偏好的一般均衡定價方法,闡述扇形偏好對期定價的主要影響。與傳統的預期效用理論相區別,扇形偏好認為人們對於*端事件(如金融危機導致的股票暴跌)的風險厭惡程度要大於普通的市場波動風險。從而該理論可以更加準確地描述市場中投資者的行為,並且成功解釋期市場的“波動率微笑”現像。
●Introduction
●1.1 Motivation for the Book
●1.2 Overview and Structure for the Book
●2 General Equilibrium Option Pricing Models
●2.1 The Economy and Utility Functions
●2.2 Market Risk Premium
●2.3 Option Pricing Model
●3 Simulation Comparison
●3.1 Introduction
●3.2 Methodology
●3.3 Simulations
●3.3.1 Risk-neutral and Physical Jumps
●3.3.2 Recursive and Expected Utility Functions .
●3.3.3 Lognormal and Uniform Jump Size Distribu
●tions
●3.4 Conclusions
●4 Empirical Comparison
●4.1 Introduction
●4.2 Option Pricing Models
●4.3 Data and Methodology......