Preferences, Lévy Jumps and Option Pricing

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	Preferences, Lévy Jumps and Option Pricing
	Chenghu Ma
刊名	http://www.wise.xmu.edu.cn/paperInfor.asp?id=115
	2013-11-08
关键词	equilibrium option pricing recursive utility Levy jumps.
英文摘要	This paper derives an equilibrium formula for pricing European options and other contingent claims which allows incorporating impacts of several important economic variable on security prices including, among others, representative agent preferences, future volatility and rare jump events. The derived formulae is general and flexible enough to include some important option pricing formulae in the literature, such as Black-Scholes, Naik-Lee, Cox-Ross and Merton option pricing formulae. The existence of jump risk as a potential explanation of the moneyness biases associated with the Black-Scholes model is explored. ; This paper was published in Annals of Financial Economics, p1-39, Volume 3, 2007.
语种	中文
内容类型	期刊论文
源URL	[http://dspace.xmu.edu.cn/handle/2288/56895]
专题	王亚南院－已发表论文
推荐引用方式 GB/T 7714	Chenghu Ma . Preferences, Lévy Jumps and Option Pricing[J]. http://www.wise.xmu.edu.cn/paperInfor.asp?id=115,2013.
APA	Chenghu Ma .(2013).Preferences, Lévy Jumps and Option Pricing.http://www.wise.xmu.edu.cn/paperInfor.asp?id=115.
MLA	Chenghu Ma ."Preferences, Lévy Jumps and Option Pricing".http://www.wise.xmu.edu.cn/paperInfor.asp?id=115 (2013).