Showing 1 - 10 of 23
Persistent link: https://www.econbiz.de/10010097390
Persistent link: https://www.econbiz.de/10010255495
Persistent link: https://www.econbiz.de/10009712739
Persistent link: https://www.econbiz.de/10011736265
In recent years there has been a remarkable growth of multi-asset options. These options exhibit sensitivity to the volatility of the underlying assets, as well as to their correlations. The call versus call is a product commonly used to trade correlation within the inter-dealer broker markets....
Persistent link: https://www.econbiz.de/10013031257
In recent years there has been a remarkable growth of volatility options. In particular, VIX options are among the most actively trading contracts at CBOE. These options exhibit upward sloping volatility skew and the shape of the skew is largely independent of the volatility level. To take into...
Persistent link: https://www.econbiz.de/10013033193
Target volatility options (TVO) are a new class of derivatives whose payoff depends on some measure of volatility. These options allow investors to take a joint exposure to the evolution of the underlying asset, as well as to its realized volatility. For instance, a target volatility call can be...
Persistent link: https://www.econbiz.de/10013033877
This article presents a Markov chain framework to characterize the behavior of the CBOE Volatility Index (VIX index). Two possible regimes are considered: high volatility and low volatility. The specification accounts for deviations from normality and the existence of persistence in the...
Persistent link: https://www.econbiz.de/10013114113
This article considers a multi-asset model based on Wishart processes that accounts for stochastic volatility and for stochastic correlations between the underlying assets, as well as between their volatilities. The model accounts for the existence of correlation term structure and correlation...
Persistent link: https://www.econbiz.de/10013091068
This article postulates a flexible specification for the implied volatility surface, which accounts for the existence of volatility skew and term structure. I show that it is possible to express the local volatility function in terms of the implied volatility. I then obtain an analytic formula...
Persistent link: https://www.econbiz.de/10013091895