DOAJ Open Access 2023

BeVIXed: Trading Fear in the Volatility Complex

Chakravarthy Varadarajan Klaus R. Schenk-Hoppé

Abstrak

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.

Topik & Kata Kunci

Insurance

Penulis (2)

Chakravarthy Varadarajan

Klaus R. Schenk-Hoppé

Format Sitasi

APA MLA BibTeX

Varadarajan, C., Schenk-Hoppé, K.R. (2023). BeVIXed: Trading Fear in the Volatility Complex. https://doi.org/10.3390/risks11050086

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Informasi Jurnal

Tahun Terbit: 2023
Sumber Database: DOAJ
DOI: 10.3390/risks11050086
Akses: Open Access ✓