Three Essays on Equity, Volatility and Commodity Derivatives

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aut.embargoNoen_NZ
aut.thirdpc.containsNoen_NZ
aut.thirdpc.permissionNoen_NZ
aut.thirdpc.removedNoen_NZ
dc.contributor.advisorDa Fonseca, José
dc.contributor.advisorWang, Peiming
dc.contributor.advisorTourani-Rad, Alireza
dc.contributor.authorXu, Yahua
dc.date.accessioned2017-06-20T03:36:27Z
dc.date.available2017-06-20T03:36:27Z
dc.date.copyright2017
dc.date.created2017
dc.date.issued2017
dc.date.updated2017-06-20T03:15:35Z
dc.description.abstractThis thesis provides a comprehensive study on option markets, with a focus on Leveraged Exchange Traded Fund (LETF) options, volatility options and crude oil options. Study of LETF option market is carried out using a parametric framework. A stochastic volatility framework for the LETFs is proposed and a systematic pricing formula for options on equity and volatility LETFs is further developed by employing Fast Fourier Transform (FFT). In contrast, research on volatility and crude oil option markets is conducted under a nonparametric framework. We extract variance and skew risk premiums from VIX options, which the first study on higher moment risk premiums for the volatility market and explains how they are related to VIX index returns as well as to S&P 500 index returns. When analysing higher moment risk premiums in the crude oil market, we decompose the risk premiums conditional on the market return sign. One key finding is that the decomposed risk premiums contain more predictive information about market excess returns. All the results contribute to a better understanding of the option market, and provide comparison with equity market.en_NZ
dc.identifier.urihttps://hdl.handle.net/10292/10569
dc.language.isoenen_NZ
dc.publisherAuckland University of Technology
dc.rights.accessrightsOpenAccess
dc.subjectOptions on Leveraged ETFen_NZ
dc.subjectVIX Optionsen_NZ
dc.subjectUSO Optionsen_NZ
dc.subjectRisk Premiumsen_NZ
dc.subjectAffine Modelen_NZ
dc.subjectModel-free Approachen_NZ
dc.titleThree Essays on Equity, Volatility and Commodity Derivativesen_NZ
dc.typeThesis
thesis.degree.grantorAuckland University of Technology
thesis.degree.levelDoctoral Theses
thesis.degree.nameDoctor of Philosophyen_NZ
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