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 |