Using VIX futures to hedge forward implied volatility risk
Yueh-Neng Lin, Anchor Y. Lin
| Year of publication: |
May 2016
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|---|---|
| Authors: | Lin, Yueh-neng ; Lin, Anchor Y. |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 43.2016, p. 88-106
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| Subject: | VIX futures | Forward implied volatility | Forward-start strangles | Stochastic volatility | Price jumps | Volatilität | Volatility | Hedging | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Index-Futures | Index futures |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2015.10.033 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011625539