BeVIXed: Trading Fear in the Volatility Complex

Autor:	Chakravarthy Varadarajan, Klaus R. Schenk-Hoppé
Rok vydání:	2022
Předmět:	History Polymers and Plastics Strategy and Management Accounting Economics Econometrics and Finance (miscellaneous) Business and International Management Industrial and Manufacturing Engineering Volmageddon volatility derivatives hedging VIX
Zdroj:	Schenk-Hoppé, K R & Varadarajan, C 2023, ' BeVIXed: Trading Fear in the Volatility Complex ', Risks, vol. 11, no. 5, 86 . https://doi.org/10.3390/risks11050086 Risks; Volume 11; Issue 5; Pages: 86
ISSN:	1556-5068
DOI:	10.2139/ssrn.4249320
Popis:	We explain the evolution of the volatility market and present the infamous day of ‘Volmageddon’ as an insightful case study. Our survey focuses on the pricing and trading of volatility-linked assets, highlighting the impact of mechanical hedging in markets for futures and higher-order derivatives. We supplement the vast statistical analysis of volatility derivatives with a financial economist’s perspective.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3f253e7fac0a5c6a1a8b71f7748d5a3d https://doi.org/10.2139/ssrn.4249320 Zobrazit plný text záznamu