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Applications of stock index options for income enhancement

Burrello, John; Fabozzi, Frank J.; Liang, Han; Sood, Anil; … - In: The journal of asset management : a major new, … 25 (2024) 6, pp. 579-588

Persistent link: https://www.econbiz.de/10015192360

Replicating the CBOE VIX using a synthetic volatility index trading algorithm

Cary, Dayne; Van Vuuren, Gary - In: Cogent economics & finance 7 (2019) 1, pp. 1-21

This article tests whether a correlation exists between a stochastic synthetic volatility index (SVIX) and the Chicago … Board Options Exchange (CBOE) volatility index (VIX) and assesses the success of the indicators’ application by pairing an …. The SVIX allows traders to graph volatility as a 100% scale on securities that do not have an official CBOE VIX ticker …

Persistent link: https://www.econbiz.de/10014230463

Index Options : A Model-Free Approach

Linders, Daniël; Dhaene, Jan; Hounnon, Hippolyte; … - 2012

This paper contains an overview and an extension of the theory on comonotonicity-based model-free upper bounds and super-replicating strategies for stock index options, as presented in Hobson et al. (2005) and Chen et al. (2008). Whereas these authors only consider index call options, here a...

Persistent link: https://www.econbiz.de/10014172772

Index Options : A Model-Free Approach

Linders, Daniël - 2012

Persistent link: https://www.econbiz.de/10013108466

Looking into the relationship between implied and realized volatility : a study on S&P CNX Nifty index option

Mishra, Alok Kumar; Panda, Siba Prasad - In: Eurasian economic review : a journal in applied … 6 (2016) 1, pp. 67-96

Persistent link: https://www.econbiz.de/10011441282

Investors' "fear" and "greed" index : a case India volatility index (IVIX)

Shaikh, Imlak; Padhi, Puja - In: Research bulletin / The Institute of Cost Accountants … 39 (2014), pp. 216-228

Persistent link: https://www.econbiz.de/10011420288

Asymmetries of the intraday return-volatility relation

Badshah, Ihsan Ullah; Frijns, Bart; Knif, Johan; … - In: International review of financial analysis 48 (2016), pp. 182-192

Persistent link: https://www.econbiz.de/10011624483

Implied volatility index for the Norwegian equity market

Bugge, Sebastian A.; Guttormsen, Haakon J.; Molnár, Peter - In: International review of financial analysis 47 (2016), pp. 133-141

Persistent link: https://www.econbiz.de/10011624091

The seasonal anomalies in the investors' fear gauge index

Shaikh, Imlak - In: Research bulletin / The Institute of Cost Accountants … 42 (2016) 1, pp. 247-254

Persistent link: https://www.econbiz.de/10011622307

Macroeconomic information and the implied volatility : evidence from India VIX

Srinivasan, Palamalai - In: Theoretical economics letters 7 (2017) 3, pp. 490-501

Persistent link: https://www.econbiz.de/10011674298