Essays on the econometrics of option pricing

This dissertation is a collection of three essays that delve into the econometrics of option pricing. The primary objective of these essays is to develop and deploy diverse econometric techniques that enable the accurate extraction of valuable information embedded in option prices. Chapter 2 investigates jump contagion between international stock markets using options data. It introduces a multivariate option pricing model that assesses the contagious effects of market shocks. Chapter 3 tackles the challenge of estimating continuous-time option pricing models. It proposes a new filtering and estimation method for affine jump-diffusion models, enhancing computational efficiency and implementation ease. Finally, Chapter 4 develops a unified framework for non-parametric estimation of risk-neutral densities, option prices, and option sensitivities.