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Conference Paper: Equilibrium asset and option pricing under jump diffusion
| Title | Equilibrium asset and option pricing under jump diffusion |
|---|---|
| Authors | |
| Issue Date | 2010 |
| Publisher | The 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? |
| Abstract | This 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 Identifier | http://hdl.handle.net/10722/138310 |
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Zhang, J | en_US |
| dc.contributor.author | Zhao, H | en_US |
| dc.contributor.author | Chang, EC | en_US |
| dc.date.accessioned | 2011-08-26T14:44:37Z | - |
| dc.date.available | 2011-08-26T14:44:37Z | - |
| dc.date.issued | 2010 | en_US |
| dc.identifier.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 | en_US |
| dc.identifier.uri | http://hdl.handle.net/10722/138310 | - |
| dc.description.abstract | This 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.language | eng | en_US |
| dc.publisher | The University of Hong Kong. | - |
| dc.relation.ispartof | HKU-Stanford Conference in Quantitative Finance 2010 | en_US |
| dc.title | Equilibrium asset and option pricing under jump diffusion | en_US |
| dc.type | Conference_Paper | en_US |
| dc.identifier.email | Zhang, J: jinzhang@hku.hk | en_US |
| dc.identifier.email | Zhao, H: hmzhao@hku.hk | en_US |
| dc.identifier.email | Chang, EC: ecchang@business.hku.hk | en_US |
| dc.identifier.authority | Zhang, J=rp01125 | en_US |
| dc.identifier.authority | Chang, EC=rp01050 | en_US |
| dc.description.nature | postprint | - |
| dc.identifier.hkuros | 189536 | en_US |
| dc.identifier.spage | 7 | - |
| dc.identifier.epage | 7 | - |
| dc.publisher.place | Hong Kong | - |