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dc.contributor.authorTakino, Kazuhiro
dc.date.accessioned2018-07-11T07:57:07Z
dc.date.available2018-07-11T07:57:07Z
dc.date.issued2018-02
dc.identifier.citationTheoretical Economics Letters, 2018, 8, 514-523en_US
dc.identifier.issn2162-2086
dc.identifier.urihttps://doi.org/10.4236/tel.2018.83036
dc.identifier.urihttp://hdl.handle.net/123456789/1786
dc.description.abstractIn this study, we propose an equilibrium pricing rule to capture a characteristic observed in the practical option market. The market has observed that the implied volatility derived from the Black-Scholes formula is monotonically decreasing with the strike price for the option, that is, it exhibits volatility skewness. Here, we construct a pricing method for the so-called economic premium principle. That is, we identify a pricing kernel from which we can evaluate the derivative from the market equilibrium. Our model demonstrates how to obtain a pricing kernel that satisfies the market equilibrium, and describes our equilibrium formula depicting the volatility skewness.en_US
dc.language.isoenen_US
dc.publisherScientific Researchen_US
dc.subjectEquilibrium Pricingen_US
dc.subjectPricing Kernelen_US
dc.subjectSkewnessen_US
dc.titleOn the Economic Premium Principleen_US
dc.typeArticleen_US


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