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Article: Equilibruim approach of asset pricing under Lévy process
Title | Equilibruim approach of asset pricing under Lévy process |
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Authors | |
Keywords | Equilibrium Approach Equity Risk Premium Lévy Process Pricing Variance Risk Premium |
Issue Date | 2012 |
Publisher | Elsevier 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? |
Abstract | This 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 Identifier | http://hdl.handle.net/10722/172502 |
ISSN | 2023 Impact Factor: 6.0 2023 SCImago Journal Rankings: 2.321 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Fu, J | en_US |
dc.contributor.author | Yang, H | en_US |
dc.date.accessioned | 2012-10-30T06:22:50Z | - |
dc.date.available | 2012-10-30T06:22:50Z | - |
dc.date.issued | 2012 | en_US |
dc.identifier.citation | European Journal Of Operational Research, 2012, v. 223 n. 3, p. 701-708 | en_US |
dc.identifier.issn | 0377-2217 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/172502 | - |
dc.description.abstract | This 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.language | eng | en_US |
dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ejor | en_US |
dc.relation.ispartof | European Journal of Operational Research | en_US |
dc.rights | NOTICE: 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.rights | This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License. | - |
dc.subject | Equilibrium Approach | en_US |
dc.subject | Equity Risk Premium | en_US |
dc.subject | Lévy Process | en_US |
dc.subject | Pricing | en_US |
dc.subject | Variance Risk Premium | en_US |
dc.title | Equilibruim approach of asset pricing under Lévy process | en_US |
dc.type | Article | en_US |
dc.identifier.email | Yang, H: hlyang@hku.hk | en_US |
dc.identifier.authority | Yang, H=rp00826 | en_US |
dc.description.nature | postprint | en_US |
dc.identifier.doi | 10.1016/j.ejor.2012.06.037 | en_US |
dc.identifier.scopus | eid_2-s2.0-84866432102 | en_US |
dc.identifier.hkuros | 217286 | - |
dc.identifier.isi | WOS:000309796100012 | - |
dc.publisher.place | Netherlands | en_US |
dc.identifier.scopusauthorid | Fu, J=55265066100 | en_US |
dc.identifier.scopusauthorid | Yang, H=7406559537 | en_US |
dc.identifier.citeulike | 11356541 | - |
dc.identifier.issnl | 0377-2217 | - |