Yan Wang
PhD Thesis Title: Effective Spanning with Options
Supervisor: Dr Conall O'Sullivan
External Examiner: Professor Mark Cummins, Dublin City University
Abstract
The thesis contains three chapters. Chapter one studies the bias of option-implied model-free estimators. Chapter two investigates the predictive power of a sequence of novel risk-neutral tail measures. Chapter three devises a value-at-risk and expected shortfall estimator using option prices and studies the pricing of tail risk in the cross-section of stocks.
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