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Review of Derivatives Research最新文献

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Implied risk aversion: an alternative rating system for retail structured products 隐含风险规避：零售结构化产品的替代评级体系
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2019-01-04 DOI: 10.1007/s11147-018-9151-0
H. Fink, S. Geissel, J. Sass, F. Seifried
{"title":"Implied risk aversion: an alternative rating system for retail structured products","authors":"H. Fink, S. Geissel, J. Sass, F. Seifried","doi":"10.1007/s11147-018-9151-0","DOIUrl":"https://doi.org/10.1007/s11147-018-9151-0","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"22 1","pages":"357 - 387"},"PeriodicalIF":0.8,"publicationDate":"2019-01-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11147-018-9151-0","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48376294","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Towards a $$Delta $$Δ-Gamma Sato multivariate model 迈向$$Delta $$ Δ-Gamma佐藤多元模型
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2019-01-01 DOI: 10.1007/S11147-019-09155-Y
Lynn Boen, Florence Guillaume
{"title":"Towards a $$Delta $$Δ-Gamma Sato multivariate model","authors":"Lynn Boen, Florence Guillaume","doi":"10.1007/S11147-019-09155-Y","DOIUrl":"https://doi.org/10.1007/S11147-019-09155-Y","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"1 1","pages":"1-39"},"PeriodicalIF":0.8,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/S11147-019-09155-Y","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"52908084","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Option-implied information: What’s the vol surface got to do with it? 期权隐含信息:波动面与它有什么关系?
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2018-11-14 DOI: 10.2139/ssrn.3184767
Maxim Ulrich, Simon Walther
{"title":"Option-implied information: What’s the vol surface got to do with it?","authors":"Maxim Ulrich, Simon Walther","doi":"10.2139/ssrn.3184767","DOIUrl":"https://doi.org/10.2139/ssrn.3184767","url":null,"abstract":"We find that option-implied information such as forward-looking variance, skewness and the variance risk premium are sensitive to the way the volatility surface is constructed. For some state-of-the-art volatility surfaces, the differences are economically surprisingly large and lead to systematic biases, especially for out-of-the-money put options. Estimates for risk-neutral variance differ across volatility surfaces by more than 10% on average, leading to variance risk premium estimates that differ by 60% on average. The variations are even larger for risk-neutral skewness. To overcome this problem, we propose a volatility surface that is built with a one-dimensional kernel regression. We assess its statistical accuracy relative to existing state-of-the-art parametric, semi- and non-parametric volatility surfaces by means of leave-one-out cross-validation, including the volatility surface of OptionMetrics. Based on 14 years of end-of-day and intraday S&P 500 and Euro Stoxx 50 option data we conclude that the proposed one-dimensional kernel regression represents option market information more accurately than existing approaches of the literature.","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"23 1","pages":"323-355"},"PeriodicalIF":0.8,"publicationDate":"2018-11-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43962733","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 8
Dissecting the tracking performance of regular and leveraged VIX ETPs 剖析常规和杠杆波动率指数etf的跟踪表现
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2018-11-02 DOI: 10.1007/s11147-018-9149-7
Hongfei Tang, Xiaoqing Eleanor Xu
{"title":"Dissecting the tracking performance of regular and leveraged VIX ETPs","authors":"Hongfei Tang, Xiaoqing Eleanor Xu","doi":"10.1007/s11147-018-9149-7","DOIUrl":"https://doi.org/10.1007/s11147-018-9149-7","url":null,"abstract":"VIX exchange-traded products (ETPs) provide tracking on the return of a constant-maturity VIX futures index, instead of the uninvestable VIX spot index. In this paper, we develop a comprehensive framework to dissect the tracking performance of regular and leveraged VIX ETPs. In this framework, naïve investors in VIX ETPs expect to achieve the ETP’s leverage ratio multiplied by the VIX return during their holding period, but the actual ETP return can deviate dramatically from this naïve expected return due to four components of return deviation. The <i>index substitution deviation</i> is shown to be the primary driver of the bull (inverse) VIX ETPs’ return erosion (enhancement), which can be explained by the negative roll-yield as a result of the contango term structure of underlying VIX futures index. For leveraged VIX ETPs over multiple holding days, the <i>compounding deviation</i> due to the “constant-leverage trap” can be sizable. In addition, the <i>NAV deviation</i> due to expense ratio and fund management issues is negative, and the <i>inefficiency deviation</i> doesn’t accumulate over long holding periods due to the creation/redemption feature. Our return deviation framework can be generalized to other ETPs tracking indices that are either uninvestable or unrealistic to replicate.","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"41 4-5","pages":""},"PeriodicalIF":0.8,"publicationDate":"2018-11-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138513637","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Pricing cross-currency interest rate swaps under the Levy market model Levy市场模型下的跨货币利率掉期定价
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2018-10-16 DOI: 10.1007/s11147-018-9150-1
Ming-Chieh Wang, Li-Jhang Huang
{"title":"Pricing cross-currency interest rate swaps under the Levy market model","authors":"Ming-Chieh Wang, Li-Jhang Huang","doi":"10.1007/s11147-018-9150-1","DOIUrl":"https://doi.org/10.1007/s11147-018-9150-1","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"22 1","pages":"329 - 355"},"PeriodicalIF":0.8,"publicationDate":"2018-10-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11147-018-9150-1","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"52908040","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Portfolio benefits of adding corporate credit default swap indices: evidence from North America and Europe 增加企业信用违约互换指数对投资组合的好处:来自北美和欧洲的证据
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2018-09-27 DOI: 10.1007/s11147-018-9148-8
B. Hippert, André Uhde, Sascha Tobias Wengerek
{"title":"Portfolio benefits of adding corporate credit default swap indices: evidence from North America and Europe","authors":"B. Hippert, André Uhde, Sascha Tobias Wengerek","doi":"10.1007/s11147-018-9148-8","DOIUrl":"https://doi.org/10.1007/s11147-018-9148-8","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"22 1","pages":"203 - 259"},"PeriodicalIF":0.8,"publicationDate":"2018-09-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11147-018-9148-8","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"52907979","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Pricing and risk of swing contracts in natural gas markets 天然气市场波动合约的定价与风险
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2018-06-22 DOI: 10.1007/s11147-018-9146-x
Hendrik Kohrs, Hermann Mühlichen, B. Auer, Frank Schuhmacher
{"title":"Pricing and risk of swing contracts in natural gas markets","authors":"Hendrik Kohrs, Hermann Mühlichen, B. Auer, Frank Schuhmacher","doi":"10.1007/s11147-018-9146-x","DOIUrl":"https://doi.org/10.1007/s11147-018-9146-x","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"22 1","pages":"77 - 167"},"PeriodicalIF":0.8,"publicationDate":"2018-06-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11147-018-9146-x","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"52907895","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Pricing VIX derivatives with free stochastic volatility model 基于自由随机波动率模型的VIX衍生品定价
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2018-06-16 DOI: 10.1007/s11147-018-9145-y
Wei Lin, Shenghong Li, Shane Chern, Jin E. Zhang
{"title":"Pricing VIX derivatives with free stochastic volatility model","authors":"Wei Lin, Shenghong Li, Shane Chern, Jin E. Zhang","doi":"10.1007/s11147-018-9145-y","DOIUrl":"https://doi.org/10.1007/s11147-018-9145-y","url":null,"abstract":"This paper aims to develop a new free stochastic volatility model, joint with jumps. By freeing the power parameter of instantaneous variance, this paper takes Heston model and 3/2 model for special examples, and extends the generalizability. This model is named after free stochastic volatility model, and it owns two distinctive features. First of all, the power parameter is not constrained, so as to enable the data to voice its authentic direction. The Generalized Methods of Moments suggest that the purpose of this newly-added parameter is to create various volatility fluctuations observed in financial market. Secondly, even upward and downward jumps are separately modeled to accommodate the market data, this paper still provides the quasi-closed-form solutions for futures and option prices. Consequently, the model is novel and highly tractable. Here, it should be noted that the data on VIX futures and corresponding option contracts is employed to evaluate the model, in terms of its pricing and implied volatility features capturing performance. To sum up, the free stochastic volatility model with asymmetric jumps is capable of adequately capturing the implied volatility dynamics. Thus, it can be regarded as a model advantageous in pricing VIX derivatives with fixed power volatility models.","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"225 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2018-06-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138524743","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Is trading in the shortest-term index options profitable? 短期指数期权交易有利可图吗?
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2018-06-13 DOI: 10.1007/s11147-018-9147-9
Ging-Ginq Pan, Yung-Ming Shiu, Tu-Cheng Wu
{"title":"Is trading in the shortest-term index options profitable?","authors":"Ging-Ginq Pan, Yung-Ming Shiu, Tu-Cheng Wu","doi":"10.1007/s11147-018-9147-9","DOIUrl":"https://doi.org/10.1007/s11147-018-9147-9","url":null,"abstract":"The aim of this study is to examine the return rates of the TAIEX options with at most 8 calendar days to maturity using a buy-and-hold strategy. Although our results generally reveal that the index option returns are significantly negative, we also find that whilst the return rates of monthly-expiring calls are inferior to those of weekly-expiring calls, the return rates of monthly puts tend to be less negative than those of weekly puts. Furthermore, as monthly (weekly) options approach their maturity dates, the underlying index returns are found to be negative (positive). Risk-neutral volatility and skewness are used to measure the respective fear and pessimism levels among investors towards the stock market, and indeed, we find that as the expiration date approaches, there is a discernible increase in both the fear and pessimism of investors with regard to monthly options, as compared to a reduction for weekly options.","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"2 11","pages":""},"PeriodicalIF":0.8,"publicationDate":"2018-06-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138524764","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
A general closed form option pricing formula 一个通用的闭式期权定价公式
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2018-05-19 DOI: 10.1007/s11147-018-9144-z
C. Necula, Gabriel G. Drimus, W. Farkas
{"title":"A general closed form option pricing formula","authors":"C. Necula, Gabriel G. Drimus, W. Farkas","doi":"10.1007/s11147-018-9144-z","DOIUrl":"https://doi.org/10.1007/s11147-018-9144-z","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"22 1","pages":"1 - 40"},"PeriodicalIF":0.8,"publicationDate":"2018-05-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11147-018-9144-z","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47502790","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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