Topic: A Comparison of Option Pricing Models Between General Equilibrium and No Arbitrage Method
Presenter：Chen, Jian，Assistant Professor, Department of Finance, Xiamen University
Time: April 8, 2011（Friday）3:00—4:30PM
Venue: Room 501, Jiageng Bld 2
Chair： Jun Ruan, assistant professor in finance, IFAS
Abstract：
In an incomplete market, the general equilibrium framework is an appealing alternative to the risk-neutral probability measure in pricing options. It builds upon a representative agent economy and incorporates all market risk factors. On the other hand, no arbitrage method assume a risk-neutral probability and prices options based on a candidate state price density. In this paper, we compare these two classes of pricing models assuming respectively pure Brownian motion, diusion jump, and stochastic volatility jump for underlying process.
Presenter Introduction：
Dr Chen got his Ph.D. and Msc in Finance from University of Essex, UK. And BA in international economics and business from Capital University of Economics and Business. His research areas include option pricing, other financial derivatives, asset pricing, and fixed income securities.
Download paper：Option pricing model.pdf