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Cross-Sectional Variation Of Stock Options Behavior, Meng Tian
Cross-Sectional Variation Of Stock Options Behavior, Meng Tian
Dissertations, Theses, and Capstone Projects
This dissertation consists of three chapters that examine the cross-sectional behaviors of option implied volatility skew and option risk premiums/returns as well as their term structures, using the structural factor model approach as well as the machine learning techniques.
Chapter 1: The introduction discusses the motivation of this dissertation, interlinks and the main findings of the three chapters.
Chapter 2: The slope of the option implied volatility plot against the strike reflects the risk-neutral skewness of the underlying security's conditional return distribution. We identify two principal risk sources that contribute to the cross-sectional variation of individual stock options' implied volatility …