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Type	Master's Thesis
Scope	Discipline-based scholarship
Title	Modeling and Estimation of Scheduled Events with Option Data
Organization Unit	Financial Engineering (Markus Leippold)
Authors	Xinyu Dou
Supervisors	Michal Svaton Markus Leippold
Language	English
Institution	University of Zurich
Faculty	Faculty of Business, Economics and Informatics
Date	2020
Abstract Text	This paper presents a process which allows for stochastically scheduled events. To retain its tract-ability, we derive its characteristic function with arbitrary delay assumptions. Moreover, we develop an estimation strategy to extract information of model parameters as well as scheduled events from SPX option data. Speciﬁcally, we apply di↵erent approaches, e.g. least squares ﬁtting and particle ﬁlter, to an model-implied quantity-VIX2 to estimate the model parameters. Meanwhile, we can identify the event jump times by looking at the VIX2 term structure. Keywords: Scheduled events; Characteristic function; SPX option; VIX; Particle ﬁlter
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