Essays about: "VIX options"

Showing result 1 - 5 of 10 essays containing the words VIX options.

  1. 1. The Predictive Power of Implied Volatility in Option Pricing

    University essay from KTH/Matematisk statistik

    Author : Lovisa Berglund; [2023]
    Keywords : Option Pricing; Black-Scholes; Finance; Implied Volatility; Applied Mathematics; Machine Learning; Optionsprissättning; Black-Scholes; Finans; Implicit Volatilitet; Tillämpad Matematik; Maskininlärning;

    Abstract : During the last few years, financial derivatives have been growing in trading volume. There seem to be a high demand and supply of derivatives on the market and one common derivative is the option contract. The option contract is frequently the subject of studies and many different pricing models have been created for options. READ MORE

  3. 2. Quantitative tactical asset allocation: Using the VIX to exploit bull and bear market movements in a Mean-Variance portfolio

    University essay from Göteborgs universitet/Graduate School

    Author : Christian Persson; Robin Williams; [2020-07-08]
    Keywords : VIX; strategy; mean-variance; simple moving average; volatility; transaction costs; bull market; bear market;

    Abstract : The Chicago Board Options Exchange (CBOE) Volatility Index (VIX) is known as being an indicator of fear, often referred to as the fear index. Low volatility indicates tranquility in the market, whereas high volatility indicates distress. READ MORE

  4. 3. Consistent pricing of VIX options

    University essay from Lunds universitet/Matematisk statistik

    Author : Wilhelm Ålander; [2020]
    Keywords : VIX; Option pricing; Fourier methods.; Mathematics and Statistics;

    Abstract : This thesis is an extension from the thesis "To what degree is the VIX benchmark computed by CBOE representative of its definition?" presented on June 16 in 2018. The primary purpose of this thesis is to investigate a consistent way of Fourier pricing with the Heston model and whether or not the estimates can be improved by extending the amount of CIR processes in order to catch the non-linear behavior of VIX options. READ MORE

  5. 4. Trading Volatility : Trading strategies based on the VIX term structure.

    University essay from Umeå universitet/Företagsekonomi

    Author : Oskar Fransson; Henrik Mark Almqvist; [2020]
    Keywords : Volatility; VIX futures; VIX ETP; VIX ETF; VIX ETN; VIX index; VIX term structure; VIX trading; Volatility trading; Contango; Backwardation; Roll yield; Options; Futures;

    Abstract : This study investigates how term structure dynamics of VIX futures can be exploited forabnormal returns. To be able to access volatility as a tradeable asset, the trading strategiesonly trades ETFs which are designed to replicate the movements of VIX futures index. READ MORE

  6. 5. To what degree is the VIX benchmark computed by CBOE representative of its definition?

    University essay from Lunds universitet/Matematisk statistik

    Author : Patrik Liedbeck; Wilhlem Ålander; [2018]
    Keywords : Mathematics and Statistics;

    Abstract : The purpose of this paper is through an empirical approach understand the dynamics of VIX and investigate to what degree the benchmark computed by CBOE is representative of its definition. The method implemented is of a design where one constructs a hypothetical world in which synthetic options data are produced by the Bates-Heston model. READ MORE