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Recovering jump risk and diffusion p...

Beyer, Scott Berg.

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Recovering jump risk and diffusion parameters implied by market prices of short-dated options.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Recovering jump risk and diffusion parameters implied by market prices of short-dated options./
Author:	Beyer, Scott Berg.
Description:	179 p.
Notes:	Source: Dissertation Abstracts International, Volume: 64-07, Section: A, page: 2594.
Contained By:	Dissertation Abstracts International64-07A.
Subject:	Economics, Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3099610

Recovering jump risk and diffusion parameters implied by market prices of short-dated options.
Beyer, Scott Berg.

Recovering jump risk and diffusion parameters implied by market prices of short-dated options. - 179 p.

Source: Dissertation Abstracts International, Volume: 64-07, Section: A, page: 2594.

Thesis (Ph.D.)--University of Missouri - Columbia, 2003.

This dissertation uses option prices from near expiration options to extract jump-risk and volatility parameters. To date, the vast majority of empirical option studies have ignored near expiration, or short-dated options. Many of these studies that ignore short-maturity options cite Rubinstein (1985), who excluded all options with less than 21 days until maturity, due to “nonidealalities”. It is important to note, however, that overall trading activity in short-dated options (in the final two weeks of trading) is significant, accounting for 30 to 50 percent of total option volume.Subjects--Topical Terms:

626650
Economics, Finance.

Recovering jump risk and diffusion parameters implied by market prices of short-dated options.
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100 1 $a Beyer, Scott Berg. $3 1945029
245 1 0 $a Recovering jump risk and diffusion parameters implied by market prices of short-dated options.
300 $a 179 p.
500 $a Source: Dissertation Abstracts International, Volume: 64-07, Section: A, page: 2594.
500 $a Supervisor: Thomas W. Miller, Jr.
502 $a Thesis (Ph.D.)--University of Missouri - Columbia, 2003.
520 $a This dissertation uses option prices from near expiration options to extract jump-risk and volatility parameters. To date, the vast majority of empirical option studies have ignored near expiration, or short-dated options. Many of these studies that ignore short-maturity options cite Rubinstein (1985), who excluded all options with less than 21 days until maturity, due to “nonidealalities”. It is important to note, however, that overall trading activity in short-dated options (in the final two weeks of trading) is significant, accounting for 30 to 50 percent of total option volume.
520 $a Specifically, this dissertation focuses on methods to uncover the jump parameters implied by options with a short time to expiration. Intuitively, consider an option that has one day until expiration. Here, diffusion or volatility will have little, if any, impact, upon option prices even with very large volatility. However, jumps allow for large price moves in a short time interval. As a result, the jump premium should represent a larger portion of the value of an option the closer the option is to expiration. Additionally, because volatility does not have much influence on many short-dated option prices, it is plausible that jump and volatility parameters for short-dated options are largely uncorrelated.
520 $a It is found that DIFF, the price difference between the NSX and SPX index options, is significant for high moneyness options, call options that are in-the-money and put options that are out-of-the-money. Also, the implied volatility is critically different, at near term maturities under the jump-diffusion model versus the Black and Scholes model. That is, it is found that the volatility distributions are significantly different when generated by the aforementioned models. Furthermore, the volatility of volatility is notably different for high moneyness options nearing expiration. These findings may have a profound impact upon the manner in which option trader hedge their near maturity option positions.
590 $a School code: 0133.
650 4 $a Economics, Finance. $3 626650
650 4 $a Business Administration, Banking. $3 1018458
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690 $a 0770
710 2 0 $a University of Missouri - Columbia. $3 1017522
773 0 $t Dissertation Abstracts International $g 64-07A.
790 1 0 $a Miller, Thomas W., Jr., $e advisor
790 $a 0133
791 $a Ph.D.
792 $a 2003
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3099610