This dissertation ventures beyond the traditional confines of Brownian motion and the assumption of log-normality in the finance literature, in both econometrics and economics ways. It not only involves the structural estimation of the parametric jump diffusion model and the nonparametric econometrics techniques, but also provides the asset pricing implications on the higher order risk premiums and the theoretical characterization of the variance risk premium on the equity options. From these attempts, it is shown that venturing beyond normality helps us to further understand the patterns in both stock and option markets and the dynamics of the higher order risk premiums.

Additional Metadata
Keywords Jump diffusion model, options, variance risk premium, jump risk premium
Promotor C.G. de Vries (Casper) , C. Zhou (Chen)
Publisher Erasmus University Rotterdam
ISBN 978-90-361-0478-4
Persistent URL hdl.handle.net/1765/95530
Series Tinbergen Instituut Research Series
Citation
Xiao, X. (2017, February 23). Options and higher-order risk premiums (No. 688). Tinbergen Instituut Research Series. Erasmus University Rotterdam. Retrieved from http://hdl.handle.net/1765/95530