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政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/78857

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/78857

Title:	General Equilibrium Stock Index Futures Pricing Allowing for Event Risk
Authors:	Yen, Simon H.;Wang, Jai Jen 顏錫銘
Contributors:	財管系
Keywords:	general equilibrium model;event risk;intertemporal futures pricing
Date:	2007-08
Issue Date:	2015-10-02 16:50:07 (UTC+8)
Abstract:	This study develops a new futures pricing model and derives its analytic solution. Comparative static and simulation results are also presented. Under this general equilibrium framework, we find that bounded degrees of state variables in the broad economy determine co-varying extents among various important market variables. However, increasing event risk, including the sizes of occurrence probability and corresponding impulse effects, makes their analysis intractable.
Relation:	International Journal of Business and Economics, 6(2), 103-119
Data Type:	article
Appears in Collections:	[財務管理學系] 期刊論文

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