How do option and equity markets interact with each other? This is the central question that is answered from three different angles in this dissertation. The first Chapter discusses how option-implied information is incorporated into equity markets. Based on a novel rescaled option-implied...

We comprehensively analyze the predictive power of several option implied variables for monthly S & P 500 excess returns and realized variance. The correlation risk premium (CRP) emerges as a strong predictor of both excess returns and realized variance. This is true both in- and out-of-sample....

This paper describes an empirical study of the information content of daily share prices and American put and call option mid-quotes about their generating process. Considering stock return and its volatility as the risk factors and without parameterizing their historical joint dynamics, two...

This paper describes an empirical study of equity and American option markets. Without parameterizing the joint dynamics of stock return and its volatility, two results are obtained. First, both the considered markets are necessary to simultaneously quantify equity and variance risk premia....

This paper explores the contagious propagation of jumps among international stock market indices by exploiting a rich panel of stock and options data. We propose a multivariate option pricing model designed to allow for, but not superimpose, time and space amplification of jumps in option...