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Park, Yang-Ho - 2019

This paper introduces a new model-free approach to measuring the expectation of market variance using VIX derivatives. This approach shows that VIX derivatives carry different information about future variance than S&P 500 (SPX) options, especially during the 2008 financial crisis. I find that...

Persistent link: https://www.econbiz.de/10012182042

Hedging Market Risk and Volatility : Evidence from Indian Options Market

Thomas, Sony - 2015

The paper examines the performance of various hedging strategies using Options in the Indian options market. The entire spectrum of option hedging strategies are divided into two categories: 1) Strategies with limited losses and unlimited gains; 2) Strategies with limited losses and limited...

Persistent link: https://www.econbiz.de/10013025217

Hedging Volatility Risk of Exotic Structures Using Variance Derivatives

Zarov, Iliyan Radev - 2012

volatility jump diffusion model …

Persistent link: https://www.econbiz.de/10013113731

Volatility Risks Implied From Short Term VIX Futures

Hu, Guanglian; Liu, Rui - 2022

We use a dynamic term structure model to extract latent volatility risk factors from short term VIX futures. While the … first factor, closely related to the level of volatility, does not contain predictive information about VIX futures returns … of the third volatility factor is particularly strong: It is robust to controlling for other known predictors …

Persistent link: https://www.econbiz.de/10014236055

The term structure of systematic and idiosyncratic risk

Hollstein, Fabian; Prokopczuk, Marcel; Wese Simen, Chardin - 2017

We study the term structure of variance (total risk), systematic and idiosyncratic risk. Consistent with the expectations hypothesis, we find that, for the entire market, the slope of the term structure of variance is mainly informative about the path of future variance. Thus, there is little...

Persistent link: https://www.econbiz.de/10011751173

Options Trading and Stock Price Crash Risk

Bhatia, Mikhail - 2014

Using a sample of U.S. firms between 1996 and 2011, this paper documents a positive association between options trading volume and future stock price crash risk. This relation is evidently more pronounced among firms with higher information asymmetry, business uncertainty, and short-sale...

Persistent link: https://www.econbiz.de/10013054363

Does the Options Market Underreact to Firms'Left-Tail Risk?

Chen, Bei; Gan, Quan - 2021

We find that firms’ left-tail risk is a strong positive predictor of future bear spread returns, suggesting that the options market underreacts to firms’ left-tail risk and the downside protection provided by bear spreads is not adequately priced. The underreaction to firms' left-tail risk...

Persistent link: https://www.econbiz.de/10013233988

Insurance options : beating the benchmark : are catastrophe bonds more profitable than corporate bonds?

Caro Barrera, José Rafael - In: Revista de métodos cuantitativos para la economía y … 29 (2020), pp. 3-17

In this paper, we establish a comparison between one of the most traded financial derivatives in the markets, the so-called catastrophe bonds (abbreviated as cat bonds) and the corporate bonds. In the first section, we start from a brief definition as well as some basic concepts. In section two,...

Persistent link: https://www.econbiz.de/10012259883

A New Option Momentum : Compensation for Risk

Beckmeyer, Heiner; Filippou, Ilias; Zhou, Guofu - 2023

In this paper, we propose a cross-sectional option momentum strategy that is based on the risk component of delta-hedged option returns. We find strong evidence of risk continuation in option returns. Specifically, options with a high risk component significantly outperform those with a low risk...

Persistent link: https://www.econbiz.de/10014351235

Value at risk, market risk and trading activity : CAPM alternative model

Santosa, Perdana Wahyu; Laksana, Harry Yusuf - In: Journal of applied finance & banking 1 (2011) 4, pp. 239-268

The purpose of this research is try to create Capital Asset Pricing Model (CAPM) alternative model at Indonesia Stock Exchange (IDX) that analyze the effect of the investment risk, trading activity and market multiple on stock return on low (IDR5 and IDR10), medium (IDR25), high (IDR50) and all...

Persistent link: https://www.econbiz.de/10009540023