Date of Award
Doctor of Philosophy (PhD)
This dissertation consists of two empirical studies on options. In the first study, an estimate of the constant proportional risk aversion parameter is implied from the equivalent martingale measure framework. Within this framework, we use call options as opposed to the traditional consumption data to imply our estimate. We compare forecasts of volatility for the asset underlying an option in the second study. Three methods have been used to forecast volatility in the past. These are an historical estimate, an estimate implied from the Black-Scholes European call option pricing model, and an estimate based on generalized autoregressive conditional heteroscedasticity. The first is an unconditional estimate whereas the latter two are conditional. Previous literature has compared the forecasting ability of the unconditional estimate with one of the conditional estimates. We focus on the comparison of the two conditional volatility estimates in our second study, in addition to the unconditional versus conditional comparisons.
Bartunek, Kenneth Steven, "Implied Volatility and Risk Preference From Option Prices." (1991). LSU Historical Dissertations and Theses. 5166.