This thesis studies variance and jump risk premia embedded in S&P 500 and crude oil options between 1990 and 2010. Using a parametric approach based on stochastic volatility jump-diffusion models, we first estimate diffusive volatility and jump risk premia in a two-step procedure employing time series information from the underlying as well as option market data. We find that the S&P 500 exhibits significant jump risk premia, whereas the aggregate results for the crude oil market are mixed with an insignificant mean price jump risk premium. The thesis provides evidence of time-varying risk premia and we link the development of the risk premia over time to economical events such as the first Gulf War, the dot-com crash and the financial crisis in 2008. To further assess the properties of the risk premia, we examine the intra-market and cross-market characteristics in both markets showing high intra-market and low cross-market correlations which highlights the differences between equity and commodity markets. After having analyzed the time-varying properties of the variance and jump risk premia, we move on to investigate their economic determinants. Finally, using a broad range of economic and financial variables, we document that macroeconomic expectations, uncertainties regarding these expectations and market-related variables are able to explain a substantial part of the variation in these risk premia.      «

This thesis studies variance and jump risk premia embedded in S&P; 500 and crude oil options between 1990 and 2010. Using a parametric approach based on stochastic volatility jump-diffusion models, we first estimate diffusive volatility and jump risk premia in a two-step procedure employing time series information from the underlying as well as option market data. We find that the S&P; 500 exhibits significant jump risk premia, whereas the aggregate results for the crude oil market are mixed with a...     »