Abstract
Chapter 2 gives an overview of the literature that is directly related to the topics studied in this thesis. In Chapter 3 the impact of overnight periods on option prices is examined by estimating an option pricing model that takes overnight closures of exchanges explicitly into account. Chapter 4 proposes a model-free methodology that can be used to extract the risk-neutral distribution of future volatility from empirical option prices. The resulting density of future volatility shows some interesting characteristics. Finally, Chapter 6 investigates characteristics of investment portfolios that contain European options. Specifically, the mean-variance properties of option returns are studied in detail.
Original language | English |
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Qualification | Doctor of Philosophy |
Awarding Institution |
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Supervisors/Advisors |
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Award date | 13 Jan 2006 |
Place of Publication | Tilburg |
Publisher | |
Print ISBNs | 9056681575 |
Publication status | Published - 2006 |