Search Results - subject:"Volatility derivatives"

BeVIXed: trading fear in the volatility complex

Varadarajan, Chakravarthy; Schenk-Hoppé, Klaus Reiner - In: Risks : open access journal 11 (2023) 5, pp. 1-18

hedging in markets for futures and higher-order derivatives. We supplement the vast statistical analysis of volatility … derivatives with a financial economist's perspective. …

Persistent link: https://www.econbiz.de/10014332075

Pricing volatility derivatives under the modified constant elasticity of variance model

Chan, Leunglung; Platen, Eckhard - 2015

Persistent link: https://www.econbiz.de/10011344235

Three Essays on Asset Pricing

Wang, Zhiguang - 2009

In this dissertation, I investigate three related topics on asset pricing: the consumption-based asset pricing under long-run risks and fat tails, the pricing of VIX (CBOE Volatility Index) options and the market price of risk embedded in stock returns and stock options. These three topics are...

Persistent link: https://www.econbiz.de/10009460573

Pricing Volatility Derivatives Using Space Scaled Levy Processes

Prakash, Samvit - 2008

The VIX index measures the one-month risk-neutral forward volatility of the S&P500 (SPX) index. While Lévy processes such as the CGMY process can price options on the underlying stock or index, they implicitly assume a constant forward volatility. This makes them unsuitable for pricing options...

Persistent link: https://www.econbiz.de/10009450886

Moment Methods for Exotic Volatility Derivatives

Albanese, Claudio; Osseiran, Adel - Volkswirtschaftliche Fakultät, … - 2007

The latest generation of volatility derivatives goes beyond variance and volatility swaps and probes our ability to … volatility derivatives. The methods are quite flexible and allow for a specification of the underlying process which is semi … find that volatility derivatives are particularly well suited to be treated with moment methods, whereby one extrapolates …

Persistent link: https://www.econbiz.de/10005836952

SPECTRAL METHODS FOR VOLATILITY DERIVATIVES

Albanese, Claudio; Mijatovic, Aleksandar - Volkswirtschaftliche Fakultät, … - 2006

In the first quarter of 2006 Chicago Board Options Exchange (CBOE) introduced, as one of the listed products, options on its implied volatility index (VIX). This opened the challenge of developing a pricing framework that can simultaneously handle European options, forward-starts, options on the...

Persistent link: https://www.econbiz.de/10005619924