Essays about: "the CBOE Volatility Index"

Showing result 6 - 10 of 11 essays containing the words the CBOE Volatility Index.

  1. 6. 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

  3. 7. Reducing Portfolio Risk Using Volatility - A risk-return examination of the addition of VIX and VIX futures contracts to an equity portfolio

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Patrik Alenfalk; Carl Nilsson; [2013-07-05]
    Keywords : Volatility; Modern Portfolio Theory; Risk Reduction; Portfolio Management;

    Abstract : This thesis examines the effects of adding volatility, as represented by the CBOE Volatility Index (VIX) and VIX futures contracts, to a stock portfolio in terms of portfolio risk and portfolio return. The study is based on statistical properties as well as Markowitz’s modern portfolio theory, with support from previous research conducted by Hill (2013), Szado (2009), and Daigler and Rossi (2006). READ MORE

  4. 8. ADR premium, its construction around crisis : To what extent is the ADR premium built by the same variables during a crisis as during a non-crisis period?

    University essay from Företagsekonomi

    Author : Guillaume Beaudoux; William Leau; [2013]
    Keywords : Cross-listing; American Depositary Receipts; ADR; Efficient Market Hypothesis; premium; arbitrage; liquidity; exchange rate; US market; VIX; volatility; home market.;

    Abstract : In this thesis, we analyze premium relationship of American depositary receipts (ADR) and their underlying shares. Several researchers have previously identified the main variables influencing the construction of ADR premium of cross-listed companies. READ MORE

  5. 9. How reliable is implied volatility A comparison between implied and actual volatility on an index at the Nordic Market

    University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)

    Author : Maria Kozyreva; [2007]
    Keywords : implied volatility; the CBOE Volatility Index; VIX ;

    Abstract : Volatility forecast plays a central role in the financial decision making process. An intrinsic purpose of any investor is profit earning. For that purpose investors need to estimate the risk. One of the most efficient methods to this end is the volatility estimation. READ MORE

  6. 10. The Swedish Expected Volatility Index: Construction and Properties

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Maria Dahlman; Madeleine Wallmark; [2007]
    Keywords : volatility index; implied volatility; expected volatility; VIX; volatility forecasting;

    Abstract : In this paper we construct an index, SVIX, measuring the expected 30 calendar day volatility on the Swedish stock market for the time period January 1993 to June 2006. SVIX is constructed from OMX index option prices using the same method as used by the Chicago Board Options Exchange (CBOE) in calculating the CBOE Volatility Index, VIX, and is independent of any option pricing model. READ MORE