University thesis:
Dissertation, Georg-August-Universität Göttingen, 2023
Footnote:
Description:
This dissertation analyzes the pricing, exposures as well as information content of options. It aims to fill research gaps in the existing options-literature in the research fields of volatility-related pricing, option-exposures as well as option-implied information. It consists of three main chapters each of which is based on an individual study. The first study, A New Look at the Cross-Section of Option Returns and Volatility, analyzes the relationship between the low-volatility effect and the expensiveness effect in stock options. Building on intermediary asset pricing theory, we hypothe...