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Article: Equilibruim approach of asset pricing under Lévy process

TitleEquilibruim approach of asset pricing under Lévy process
Authors
KeywordsEquilibrium Approach
Equity Risk Premium
Lévy Process
Pricing
Variance Risk Premium
Issue Date2012
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ejor
Citation
European Journal Of Operational Research, 2012, v. 223 n. 3, p. 701-708 How to Cite?
AbstractThis work considers the equilibrium approach of asset pricing for Lévy 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 Lévy process and thus allows nearly an arbitrage distribution of the jump component. © 2012 Elsevier B.V. All rights reserved.
Persistent Identifierhttp://hdl.handle.net/10722/172502
ISSN
2015 Impact Factor: 2.679
2015 SCImago Journal Rankings: 2.595
ISI Accession Number ID

 

DC FieldValueLanguage
dc.contributor.authorFu, Jen_US
dc.contributor.authorYang, Hen_US
dc.date.accessioned2012-10-30T06:22:50Z-
dc.date.available2012-10-30T06:22:50Z-
dc.date.issued2012en_US
dc.identifier.citationEuropean Journal Of Operational Research, 2012, v. 223 n. 3, p. 701-708en_US
dc.identifier.issn0377-2217en_US
dc.identifier.urihttp://hdl.handle.net/10722/172502-
dc.description.abstractThis work considers the equilibrium approach of asset pricing for Lévy 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 Lévy process and thus allows nearly an arbitrage distribution of the jump component. © 2012 Elsevier B.V. All rights reserved.en_US
dc.languageengen_US
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ejoren_US
dc.relation.ispartofEuropean Journal of Operational Researchen_US
dc.rightsNOTICE: this is the author’s version of a work that was accepted for publication in European Journal of Operational Research. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in European Journal of Operational Research, 2012, v. 223 n. 3, p. 701-708. DOI: 10.1016/j.ejor.2012.06.037-
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.subjectEquilibrium Approachen_US
dc.subjectEquity Risk Premiumen_US
dc.subjectLévy Processen_US
dc.subjectPricingen_US
dc.subjectVariance Risk Premiumen_US
dc.titleEquilibruim approach of asset pricing under Lévy processen_US
dc.typeArticleen_US
dc.identifier.emailYang, H: hlyang@hku.hken_US
dc.identifier.authorityYang, H=rp00826en_US
dc.description.naturepostprinten_US
dc.identifier.doi10.1016/j.ejor.2012.06.037en_US
dc.identifier.scopuseid_2-s2.0-84866432102en_US
dc.identifier.hkuros217286-
dc.identifier.isiWOS:000309796100012-
dc.publisher.placeNetherlandsen_US
dc.identifier.scopusauthoridFu, J=55265066100en_US
dc.identifier.scopusauthoridYang, H=7406559537en_US
dc.identifier.citeulike11356541-

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