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This thesis examines the empirical performance of four Affine Jump Diffusion models in pricing and hedging S&P 500 Index options: the Black Scholes (BS) model, Heston???s Stochastic Volatility (SV) model, a Stochastic Volatility Price Jump (SVJ) model and a Stochastic Volatility Price-Volatility Jump (SVJJ) model. The SVJJ model structure allows for simultaneous jumps in price and volatility processes, with correlated jump size distributions. To the best of our knowledge this is the first empirical study to test the hedging performance of the SVJJ model. As part of our research we derive the SVJJ model minimum variance hedge ratio. We find the SVJ model displays the best price prediction. The SV model lacks the structural complexity to eliminate Black Scholes pricing biases, whereas our results indicate the SVJJ model suffers from overfitting. Despite significant evidence from in and out-of-sample pricing that the SV and SVJ models were better specified than the BS model, this did not result in an improvement in dynamic hedging performance. Overall the BS delta hedge and SV minimum variance hedge produced the lowest errors, although their performance across moneyness-maturity categories differed greatly. The SVJ model???s results were surprisingly poor given its superior performance in out-of-sample pricing. We attribute the inadequate performance of the jump models to the lower hedging ratios these models provided, which may be a result of the negative expected jump sizes.

Thesis (Ph. D.)--University of Oregon, 2007. / Typescript. Includes vita and abstract. Includes bibliographical references (leaves 109-114). Also available for download via the World Wide Web; free to University of Oregon users.

Thesis (Ph. D.)--Virginia Polytechnic Institute and State University, 1993. / Vita. Abstract. Includes bibliographical references (leaves 205-208). Also available via the Internet.

Thesis (Ph. D.)--University of North Texas, Dec., 2007. / Title from title page display. Includes bibliographical references.

Thesis (Ph.D.)--George Mason University, 2008. / Vita: p. 75. Thesis director: Willem Thorbeck. Submitted in partial fulfillment of the requirements for the degree of Doctor of Philosophy in Economics. Title from PDF t.p. (viewed Aug. 27, 2008). Includes bibliographical references (p. 70-74). Also issued in print.

Thesis (M.B.A.)--University of Hong Kong, 1992.

Thesis (Ph. D.)--University of California, San Diego, 1999. / Vita. Includes bibliographical references (leaves 213-220).

Thesis (doctoral)--Johann Wolfgang Goethe-University, 2004. / Includes bibliographical references.