| dc.contributor.author |
Takino, Kazuhiro |
|
| dc.date.accessioned |
2018-07-11T07:57:07Z |
|
| dc.date.available |
2018-07-11T07:57:07Z |
|
| dc.date.issued |
2018-02 |
|
| dc.identifier.citation |
Theoretical Economics Letters, 2018, 8, 514-523 |
en_US |
| dc.identifier.issn |
2162-2086 |
|
| dc.identifier.uri |
https://doi.org/10.4236/tel.2018.83036 |
|
| dc.identifier.uri |
http://hdl.handle.net/123456789/1786 |
|
| dc.description.abstract |
In 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.iso |
en |
en_US |
| dc.publisher |
Scientific Research |
en_US |
| dc.subject |
Equilibrium Pricing |
en_US |
| dc.subject |
Pricing Kernel |
en_US |
| dc.subject |
Skewness |
en_US |
| dc.title |
On the Economic Premium Principle |
en_US |
| dc.type |
Article |
en_US |
