VOLATILITY DERIVATIVES AND MODEL-FREE IMPLIED LEVERAGE
نویسندگان
چکیده
منابع مشابه
Volatility derivatives and model-free implied leverage
We revisit robust replication theory of volatility derivatives and introduce a broader class which may be considered as the second generation of volatility derivatives. One of them is a swap contract on the quadratic covariation between an asset price and the model-free implied variance (MFIV) of the asset. It can be replicated in a model-free manner and its fair strike may be interpreted as a ...
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The notion of model-free implied volatility (MFIV), constituting the basis for the highly publicized VIX volatility index, can be hard to measure with accuracy due to the lack of precise prices for options with strikes in the tails of the return distribution. This is reflected in practice as the VIX index is computed through a tail-truncation which renders it more compatible with the related co...
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ژورنال
عنوان ژورنال: International Journal of Theoretical and Applied Finance
سال: 2014
ISSN: 0219-0249,1793-6322
DOI: 10.1142/s0219024914500022