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We conduct an extensive empirical analysis of VIX derivative valuation models before, during, and after the 2008–2009 financial crisis. Since the restrictive mean-reversion and heteroskedasticity features of existing models yield large distortions during the crisis, we propose generalisations...
Persistent link: https://www.econbiz.de/10011039249
financial terms, the value of an interconnector is the same as a strip of real options written on the spread between power …-reverting jump process and express the value of these real options in closed-form. The valuation tool is applied to five pairs of …
Persistent link: https://www.econbiz.de/10011039669
importance of the skewness premium found in cross-sectional studies using lower-frequency data; and offer a potential resolution …
Persistent link: https://www.econbiz.de/10010702374