| dc.description.abstract | This study contains two essays on the price discovery and jump behaviors on VIX derivatives markets. The first essay investigates on price discovery across the S&P 500 index, S&P 500 index options, and VIX options markets; whereas the second essay provides a general form of multi-components option pricing model which includes multiple volatility, jump, co-jump, and leverage components, namely, Heterogeneous AutoRegerssive Gamma model for Realized Volatility with Leverage, Jumps, and Co-jumps (CoJJLHARG).
First Essay:
This paper investigates on price discovery across the S&P 500 index (SPX), SPX options, and VIX options markets by applying Hasbrouck’s (1995) information share and Yan and Zivot’s (2010) and Putni??’s (2013) information leadership share methods. We estimated a time series regression model to integrate the price discovery into market characteristics. We also separated the data into two subsamples - one in the presence of crisis and the second in its absence - and examined the relationship between price discovery and market characteristics. In addition, this study provides a new angle to analyze whether the information is identical in the call and put options by market characteristics. Finally, this study contributes to literature since it indicates how informed traders in the option market are distributed across strike prices.
Second Essay:
This paper provides a general form of multi-components option pricing model which includes multiple volatility, jump, co-jump, and leverage components, namely, Heterogeneous AutoRegerssive Gamma model for Realized Volatility with Leverage, Jumps, and Co-jumps (CoJJLHARG). The model employs the high-frequency SPX and VIX data to filter the co-jump component. Moreover, we use this model to analyze the options pricing’s performance. | en_US |