Global ETD Search
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Showing 1 to 5 of 5 for “"Variance Risk Premium"”.
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Essays on Volatility Risk and Security Returns
… option returns and equilibrium determinants of variance risk and the variance risk premium. In the first essay, I analyze the relation between expected option returns and the volatility of the underlying securities. In the Black-Scholes-Merton and stochastic volatility models, the expected …
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What About Short Run?
… the short-lived temporal variation of the equity risk premium. In the past decade, the equity risk premium puzzle is resolved by many competing consumption-based asset pricing models. However, before \cite{btz:vrp:rfs}, the return predictability as an outcome of such models has limited empirical …
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Empirical essays on inferring information from options and other financial derivatives
… Option pricing framework is used where the risk-neutral density of the underlying asset is assumed to be a mixture of two lognormals augmented with a probability of default, to calibrate to the market option prices. The CDS model assumes a constant default probability which is solved from …
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Essays on extreme events in agricultural futures markets
Submission published under a 24 month embargo labeled 'U of I Access', the embargo will last until 2024-08-01
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Essays on the Econometrics of Option Prices
… the extraction of the entire term structure of risk-neutral distributions in closed-form. Monte Carlo simulations confirm the framework's performance in finite samples. An application to the term structure of the synthetic variance swap portfolio finds sizeable uncertainty around the swap's true …