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The new market for volatility trading
Zhang, Jin E.; Shu, Jinghong; Brenner, Menachem - In: The journal of futures markets 30 (2010) 9, pp. 809-833
Persistent link: https://www.econbiz.de/10008900929
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A simplified pricing model for volatility futures
Dupoyet, Brice; Daigler, Robert T.; Chen, Zhiyao - In: The journal of futures markets 31 (2011) 4, pp. 307-339
Persistent link: https://www.econbiz.de/10008908397
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The performance of VIX option pricing models : empirical evidence beyond simulation
Wang, Zhiguang; Daigler, Robert T. - In: The journal of futures markets 31 (2011) 3, pp. 251-281
Persistent link: https://www.econbiz.de/10008908399
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A Markov regime-switching ARMA approach for hedging stock indices
Chen, Chao-chun; Tsay, Wen-jen - In: The journal of futures markets 31 (2011) 2, pp. 165-191
Persistent link: https://www.econbiz.de/10008908406
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Asymmetric pricing of implied systematic volatility in the cross-section of expected returns
Delisle, R. Jared; Doran, James S.; Peterson, David R. - In: The journal of futures markets 31 (2011) 1, pp. 34-54
Persistent link: https://www.econbiz.de/10008908412
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Crashes, volatility, and the equity premium : lessons from S&P 500 options
Santa-Clara, Pedro; Yan, Shu - In: The review of economics and statistics 92 (2010) 2, pp. 435-451
Persistent link: https://www.econbiz.de/10008737706
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Regression-based modeling of market option prices : with application to S&P500 options
Pandher, Gurupdesh S. - In: Journal of forecasting 26 (2007) 7, pp. 475-495
Persistent link: https://www.econbiz.de/10003593891
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An empirical comparison of continuous-time models of implied volatility indices
Dotsis, George; Psychoyios, Dimitris; Skiadopoulos, George - In: Journal of banking & finance 31 (2007) 12, pp. 3584-3603
Persistent link: https://www.econbiz.de/10003604337
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Impact of US an UK macroeconomics news announcements on the return distribution implied by FTSE-100 index options
Äijö, Janne - In: Essays on macroeconomic news announcements and …. 2007
Persistent link: https://www.econbiz.de/10003612609
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Enhanced indexing strategies : utilizing futures and options to achieve higher performance
Yates, Tristan - 2009
Index funds are among the highest performing and most reliable investments available in the marketplace. Over the past several years, literally hundreds of index-related products have been introduced to the marketplace, most designed to provide investors with the capability to mix and match...
Persistent link: https://www.econbiz.de/10003692830