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Hedging Volatility Risk of Exotic Structures Using Variance Derivatives
Zarov, Iliyan Radev - 2012
We investigate the effect of including variance derivatives as calibration and hedging instruments for pricing and … volatility jump diffusion model …
Persistent link: https://www.econbiz.de/10013113731
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Performance Measurement for Option Portfolios in a Stochastic Volatility Framework
Baule, Rainer - 2019
underlying, their exposure to volatility risk, and their time decay. Our contribution to the literature is twofold: First, we … volatility according to Heston (1993). Within this setting, the portfolio returns are explained by the market and an additional … option factor, i.e., a portfolio of standard options exposed to volatility risk. We show that (i) any option factor is …
Persistent link: https://www.econbiz.de/10012900121
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Principal Measures of Investment Risk : The Price Density Function - A Tool for Finding Volatility, Sensitivity, Duration, Convexity
Mangoro, Tinashe - 2013
used to derive a measure of the volatility of interest rate and also that of the Prices. This is achieved by exploiting the …
Persistent link: https://www.econbiz.de/10013095900
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Improving the Predictability of Real Economic Activity and Asset Returns with Forward Variances Inferred from Option Portfolios
Bakshi, Gurdip - 2012
bill returns, (iii) stock market returns, and (iv) changes in variance swap rates. Our yardstick for measuring predictive …
Persistent link: https://www.econbiz.de/10013116049
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The Pricing of Market Jumps in the Cross-Section of Stocks and Options
Babaoglu, Kadir - 2018
Market index and individual stock returns exhibit jumps in addition to normal shocks. Equities have exposure to the market and sensitivity to the market is important for explaining equity returns and option prices. I develop a new factor model that explores (i) if a separate beta for market...
Persistent link: https://www.econbiz.de/10012936701
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An Alternative Option to Portfolio Rebalancing
Israelov, Roni - 2017
reduction in the portfolio's uncompensated timing exposure. Furthermore, by selling options, the overlay earns the volatility …
Persistent link: https://www.econbiz.de/10012944574
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The Inverted Parabola World of Classical Quantitative Finance : Non-Equilibrium and Non-Perturbative Finance Perspective
Halperin, Igor - 2020
stochastic volatility models do not make sense when seen from a physics-based perspective, as they are all equivalent to a …
Persistent link: https://www.econbiz.de/10012826182
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The Basis Goes Stochastic : A Jump-Diffusion Model for Financial Risk Applications
Li, Minqiang - 2016
There are several pricing and risk model applications where the assumption of a deterministic LIBOR-OIS basis can lead to severe mispricing. By modeling such a basis using a jump-diffusion process, we show how stochastic basis can impact the valuation of specific deals such as zero-coupon swaps,...
Persistent link: https://www.econbiz.de/10012984693
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A Framework for Value Investing
Sloan, Richard G. - 2013
This paper provides a framework for defining, formulating and evaluating value investment strategies. We define the relative value of an investment in terms of the prospective yield implied by the investment's current price and expected future cash flows. We develop an intuitive and parsimonious...
Persistent link: https://www.econbiz.de/10013077739
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Pricing and Hedging Options on Assets with Options on Related Assets
Madan, Dilip B.; Wang, King - 2020
The problem studied is the pricing of options on the CBOE Skew index. The option pricing theory developed seeks to hedge the risk using positions in the market for options on a related asset and the option is then priced at the cost of this hedge. The theory is applied to pricing VIX options...
Persistent link: https://www.econbiz.de/10014095529