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Conference Paper: Equilibrium asset and option pricing under jump diffusion

TitleEquilibrium asset and option pricing under jump diffusion
Authors
Issue Date2010
PublisherThe University of Hong Kong.
Citation
The 2010 HKU-Stanford Conference in Quantitative Finance, The University of Hong Kong, Hong Kong, 10-11 December 2010. In Conference Programme, 2010, p. 7 How to Cite?
AbstractThis paper develops an equilibrium asset and option pricing model in a production economy under jump diiffusion. The model provides analytical formulas for an equity premium and a more general pricing kernel that links the physical and risk-neutral densities. The model explains the two empirical phenomena of the negative variance risk premium and implied volatility smirk if market crashes are expected. Model estimation with the S&P 500 index from 1985 to 2005 shows that jump size is indeed negative and the risk aversion coe±cient has a reasonable value when taking the jump into account. This is a joint work with Huimin Zhao and Eric C. Chang.
Persistent Identifierhttp://hdl.handle.net/10722/138310

 

DC FieldValueLanguage
dc.contributor.authorZhang, Jen_US
dc.contributor.authorZhao, Hen_US
dc.contributor.authorChang, ECen_US
dc.date.accessioned2011-08-26T14:44:37Z-
dc.date.available2011-08-26T14:44:37Z-
dc.date.issued2010en_US
dc.identifier.citationThe 2010 HKU-Stanford Conference in Quantitative Finance, The University of Hong Kong, Hong Kong, 10-11 December 2010. In Conference Programme, 2010, p. 7en_US
dc.identifier.urihttp://hdl.handle.net/10722/138310-
dc.description.abstractThis paper develops an equilibrium asset and option pricing model in a production economy under jump diiffusion. The model provides analytical formulas for an equity premium and a more general pricing kernel that links the physical and risk-neutral densities. The model explains the two empirical phenomena of the negative variance risk premium and implied volatility smirk if market crashes are expected. Model estimation with the S&P 500 index from 1985 to 2005 shows that jump size is indeed negative and the risk aversion coe±cient has a reasonable value when taking the jump into account. This is a joint work with Huimin Zhao and Eric C. Chang.-
dc.languageengen_US
dc.publisherThe University of Hong Kong.-
dc.relation.ispartofHKU-Stanford Conference in Quantitative Finance 2010en_US
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.titleEquilibrium asset and option pricing under jump diffusionen_US
dc.typeConference_Paperen_US
dc.identifier.emailZhang, J: jinzhang@hku.hken_US
dc.identifier.emailZhao, H: hmzhao@hku.hken_US
dc.identifier.emailChang, EC: ecchang@business.hku.hken_US
dc.identifier.authorityZhang, J=rp01125en_US
dc.identifier.authorityChang, EC=rp01050en_US
dc.description.naturepostprint-
dc.identifier.hkuros189536en_US
dc.identifier.spage7-
dc.identifier.epage7-
dc.publisher.placeHong Kong-

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