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Essays on Derivative Pricing and Crypto Factor Models /

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Essays on Derivative Pricing and Crypto Factor Models /Zhaowei Zhang.
作者:	Zhang, Zhaowei,
面頁冊數:	1 electronic resource (193 pages)
附註:	Source: Dissertations Abstracts International, Volume: 86-11, Section: A.
附註:	Advisors: Bakshi, Gurdip Committee members: Li, Yan; Bakshi, Xiaohui Gao; Rytchkov, Oleg; Viswanathan, Krupa S.
Contained By:	Dissertations Abstracts International86-11A.
標題:	Finance.
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=31932853
ISBN:	9798315763024

Essays on Derivative Pricing and Crypto Factor Models /
Zhang, Zhaowei,

Essays on Derivative Pricing and Crypto Factor Models /Zhaowei Zhang. - 1 electronic resource (193 pages)

Source: Dissertations Abstracts International, Volume: 86-11, Section: A.

My dissertation explores option pricing and cryptocurrency within the context of asset pricing. The three chapters address different but related research topics.Chapter 1, developed in collaboration with Gurdip Bakshi and Xiaohui Gao, investigates factor models in cryptocurrency markets. It explores three main questions: (i) What factors influence the performance of cryptocurrency portfolios? (ii) Which of these factors are associated with priced risks? (iii) Can these factors account for observed average returns? Using a cross-sectional approach involving 33 portfolios and 13 factors derived from multiple characteristics, this chapter employs machine-learning techniques to construct and evaluate models. The analysis addresses challenges such as complex interdependencies among characteristics, identifying economically meaningful factors, and handling overlapping attributes.Chapter 2, drawn from my job market paper, develops a short-maturity model with stochastic jump intensities. The model examines the skewness of stock markets and market volatility at a 7-day-to-expiry (7DTE) horizon, ensuring consistency with out-of-sample observations from 7DTE VIX futures and VIX options. The study identifies a post-COVID-19 weakening in the explanatory power of 7DTE S&P 500 options data for VIX option prices. The proposed model provides a better fit for 7DTE S&P 500 index and VIX futures option prices compared with the existing models.Chapter 3, also developed with Gurdip Bakshi and Xiaohui Gao, focuses on gold market modeling. It introduces a pricing framework that incorporates: (i) uncertainty from idiosyncratic, jump, unspanned, and spanned risks; (ii) a semi-analytical representation of option risk premiums and prices; and (iii) estimation methods utilizing quasi-maximum likelihood and Kalman filtering. The proposed models reflect key characteristics of the gold market, such as the negative magnitudes of put option risk premiums, which are consistent with the financialization of gold. These models contribute to understanding option pricing, return volatilities, and the behavior of VIXgold(t).

English

ISBN: 9798315763024Subjects--Topical Terms:

183252
Finance.
Subjects--Index Terms:

Asset pricing

Essays on Derivative Pricing and Crypto Factor Models /
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520 $a My dissertation explores option pricing and cryptocurrency within the context of asset pricing. The three chapters address different but related research topics.Chapter 1, developed in collaboration with Gurdip Bakshi and Xiaohui Gao, investigates factor models in cryptocurrency markets. It explores three main questions: (i) What factors influence the performance of cryptocurrency portfolios? (ii) Which of these factors are associated with priced risks? (iii) Can these factors account for observed average returns? Using a cross-sectional approach involving 33 portfolios and 13 factors derived from multiple characteristics, this chapter employs machine-learning techniques to construct and evaluate models. The analysis addresses challenges such as complex interdependencies among characteristics, identifying economically meaningful factors, and handling overlapping attributes.Chapter 2, drawn from my job market paper, develops a short-maturity model with stochastic jump intensities. The model examines the skewness of stock markets and market volatility at a 7-day-to-expiry (7DTE) horizon, ensuring consistency with out-of-sample observations from 7DTE VIX futures and VIX options. The study identifies a post-COVID-19 weakening in the explanatory power of 7DTE S&P 500 options data for VIX option prices. The proposed model provides a better fit for 7DTE S&P 500 index and VIX futures option prices compared with the existing models.Chapter 3, also developed with Gurdip Bakshi and Xiaohui Gao, focuses on gold market modeling. It introduces a pricing framework that incorporates: (i) uncertainty from idiosyncratic, jump, unspanned, and spanned risks; (ii) a semi-analytical representation of option risk premiums and prices; and (iii) estimation methods utilizing quasi-maximum likelihood and Kalman filtering. The proposed models reflect key characteristics of the gold market, such as the negative magnitudes of put option risk premiums, which are consistent with the financialization of gold. These models contribute to understanding option pricing, return volatilities, and the behavior of VIXgold(t).
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