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Option valuation with nonmonotonic pricing kernel and embedded volatility component premiums
Chang, Hsuan-Ling; Cheng, Hung-Wen; Lei, Yi-Ding - In: The journal of derivatives : JOD 30 (2023) 4, pp. 105-127
Persistent link: https://www.econbiz.de/10014306890
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Volatility information and derivatives trading : directional or volatility trades?
Wang, Yaw-Huei; Yen, Kuang-Chieh - In: Journal of financial studies : JFS : the official … 30 (2022) 4, pp. 35-64
Persistent link: https://www.econbiz.de/10013533141
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An Analysis on the Intraday Trading Activity of VIX Derivatives
Kao, Dian-Xuan - 2017
We investigate the relation between trading activity in the VIX derivative markets and changes in the VIX index under a high-frequency framework. We find a significant relation between the signed trading variables of VIX futures and the contemporaneous changes in the VIX index. In addition, the...
Persistent link: https://www.econbiz.de/10012957351