General Equilibrium Option Pricing Method: Theoretical and Empirical Study - Jian Chen

General Equilibrium Option Pricing Method: Theoretical and Empirical Study (eBook)

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eBook Download: PDF
2018 | 1st ed. 2018
XI, 164 Seiten
Springer Singapore (Verlag)
978-981-10-7428-8 (ISBN)
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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 smirk is the famous puzzle in option pricing. Different from no arbitrage method, this book applies the general equilibrium approach in explaining the puzzle. In the presence of jump, investors impose more weights on the jump risk than the volatility risk, and as a result, investors require more jump risk premium which generates a pronounced volatility smirk. Second, based on the general equilibrium framework, this book proposes variance risk premium and empirically tests its predictive power for international stock market returns.

This book mainly addresses the general equilibrium asset pricing method in two aspects: option pricing and variance risk premium. First, volatility smile and smirk is the famous puzzle in option pricing. Different from no arbitrage method, this book applies the general equilibrium approach in explaining the puzzle. In the presence of jump, investors impose more weights on the jump risk than the volatility risk, and as a result, investors require more jump risk premium which generates a pronounced volatility smirk. Second, based on the general equilibrium framework, this book proposes variance risk premium and empirically tests its predictive power for international stock market returns.

Acknowledgements 6
Contents 7
Part I Introduction and Model 10
1 Introduction 11
1.1 Motivation for the Book 11
1.2 Overview and Structure for the Book 13
2 General Equilibrium Option Pricing Models 16
2.1 The Economy and Utility Functions 16
2.2 Market Risk Premium 20
2.3 Option Pricing Model 24
Part II Comparison Between Models 27
3 Simulation Comparison 28
3.1 Introduction 28
3.2 Methodology 30
3.3 Simulations 32
3.3.1 Risk-Neutral and Physical Jumps 32
3.3.2 Recursive and Expected Utility Functions 36
3.3.3 Lognormal and Uniform Jump Size Distributions 36
3.4 Conclusions 39
4 Empirical Comparison 40
4.1 Introduction 40
4.2 Option Pricing Models 42
4.3 Data and Methodology 44
4.4 Empirical Results 46
4.4.1 Parameter Estimates and In-Sample Fit 46
4.4.2 Out-of-Sample Performance 49
4.4.3 Jump Risk Premium 52
4.5 Conclusions 55
Part III Jump Risk Premium 56
5 Fanning Out Preference and Option Pricing 57
5.1 Introduction 57
5.2 Model Setup 60
5.3 Numerical Studies 62
5.4 Empirical Analysis 64
5.4.1 Data and Methodology 64
5.4.2 Estimation 67
5.4.3 Implied Risk Premiums 68
5.4.4 Model Fit and Volatility Smirks 70
5.5 Concluding Remarks 71
6 Jump Size Distributions and Option Pricing 72
6.1 Introduction 72
6.2 Model Setup 74
6.3 Empirical Investigation 75
6.3.1 Data and Methodology 75
6.3.2 Empirical Results 78
6.4 Concluding Remarks 81
Part IV Variance Risk Premium 83
7 Risk Aversion Estimated from Volatility Spread 84
7.1 Introduction 84
7.2 Methodology 85
7.2.1 Realized Volatility 85
7.2.2 Model-Free Implied Volatility 86
7.2.3 Volatility Spread 87
7.3 Data and Empirical Results 88
7.3.1 Risk Aversion Estimate 92
7.4 Conclusions 95
8 Predictability of VRP: Hongkong Evidence 96
8.1 Introduction 96
8.2 Model 97
8.2.1 Realized Volatility 97
8.2.2 Model-Free Implied Volatility 98
8.2.3 Variance Risk Premium 99
8.2.4 Predictability of Stock Return 99
8.3 Data and Empirical Results 100
8.3.1 Data 100
8.3.2 Summary Statistics of Volatility Measures 101
8.3.3 Variance Risk Premium 102
8.3.4 Predictability of Stock Return 103
8.3.5 Evidences During the Financial Crisis Period 106
8.4 Conclusions 108
9 Predictability of VRP: Other International Evidence 109
9.1 Introduction 109
9.2 Empirical Methodology 111
9.2.1 Variance Risk Premium 111
9.2.2 In-Sample Predictability Regression 112
9.3 Data and Summary Statistics 113
9.4 In-Sample Predictability Results 115
9.5 Concluding Remarks 121
10 Predictability of VRP: A Comparison Study 123
10.1 Introduction 123
10.2 Methodology 125
10.2.1 Construction of Variance Risk Premium 125
10.2.2 Stock Return Predictability Regression 128
10.3 Data and Empirical Results 128
10.3.1 Data and Summary Statistics 128
10.3.2 Empirical Results from International Markets 132
10.4 Concluding Remarks 141
11 Conclusions 142
11.1 Summary 142
11.2 Future Research 144
Appendix 146
A. Non-expected Recursive Utility 146
B. Jump Risk Premium 147
C. Variance Risk Premium 148
D. Covariance Risk Premium 150
E. Observational Non-equivalence 155
F. Risk-Neutral MGF 156
G. Jump Size Distribution 156
Appendix References 158
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Erscheint lt. Verlag 10.4.2018
Zusatzinfo XI, 164 p. 31 illus., 10 illus. in color.
Verlagsort Singapore
Sprache englisch
Themenwelt Sozialwissenschaften ► Politik / Verwaltung ► Staat / Verwaltung
Wirtschaft ► Allgemeines / Lexika
Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
Wirtschaft ► Volkswirtschaftslehre ► Wirtschaftspolitik
Schlagworte General Equilibrium Model • international stock market • Option pricing • Variance risk premium • Volatility smirk
ISBN-10 981-10-7428-3 / 9811074283
ISBN-13 978-981-10-7428-8 / 9789811074288
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