题目: A Comparison of Option Pricing Models Between General Equilibrium and No Arbitrage Method
演讲者：Chen, Jian，Assistant Professor, Department of Finance, Xiamen University
时间: 2011年4月8日（星期五）3:00—4:30PM
地点: 嘉庚二501
参加者: 对财务研究有兴趣的广大师生
主持人： 阮军老师
论文简介：
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.
讲座人简介：
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.
下载：Option pricing model.pdf