Princeton University Library Catalog

The Financialization of Crude Oil Options: An Analysis of the Effects of S&P 500 Implied Volatility on Crude Options Pricing

Author/​Artist:
Han, Raymond [Browse]
Format:
Senior thesis
Language:
English
Advisor(s):
Hong, Harrison [Browse]
Department:
Princeton University. Department of Economics [Browse]
Class year:
2016
Description:
53 pages
Summary note:
This study analyzes the effects and prevalence of financialization within the sphere of crude oil options. By applying the logic and methods of studies done on the topic of futures, I examine the relationships between equity options and crude oil options to what extent do they track each other and explore possible causes and sensitivities. This study finds a clear relationship between the two markets, but notes the constantly evolving strength of correlation depending on the idiosyncratic nature of the current economic period examined.