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    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:[Department of Finance] Periodical Articles

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