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- W2794301807 abstract "In this study, we propose an equilibrium pricingrule to capture a characteristic observed in the practical option market. Themarket has observed that the implied volatility derived from the Black-Scholes formulais monotonically decreasing with the strike price for the option, that is, itexhibits volatility skewness. Here, we construct a pricing method forthe so-called economic premium principle. That is, we identify a pricing kernelfrom which we can evaluate the derivative from the market equilibrium. Ourmodel demonstrates how to obtain a pricing kernel that satisfies the marketequilibrium, and describes our equilibrium formula depicting the volatilityskewness." @default.
- W2794301807 created "2018-03-29" @default.
- W2794301807 creator A5015000986 @default.
- W2794301807 date "2018-01-01" @default.
- W2794301807 modified "2023-09-30" @default.
- W2794301807 title "On the Economic Premium Principle" @default.
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- W2794301807 doi "https://doi.org/10.4236/tel.2018.83036" @default.
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