Smile‐implied hedging with volatility risk
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DOI: 10.1002/fut.22191
Abstract: Options can be dynamically replicated using model-free Greeks extracted from the volatility smile. However, smile-implied delta and delta-gamma hedging do not achieve minimum variance in the presence of price-volatility correlation, and these strategies have shown… read more here.
Keywords: smile implied; implied hedging; volatility risk; volatility ... See more keywords
Forecasting implied volatility risk indexes: International evidence using Hammerstein-ARX approach
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DOI: 10.1016/j.irfa.2019.06.001
Abstract: Abstract This paper investigates the predictive ability of the Unites States (US) volatility risk index toward the European and Asian volatility risk indexes, and vice versa. We use the Hammerstein-ARX approach to model dependency between… read more here.
Keywords: hammerstein arx; volatility risk; implied volatility; volatility ... See more keywords
Performance expectations of basic options strategies may be different than you think
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DOI: 10.1057/s41260-019-00111-x
Abstract: There is much empirical evidence for the existence of a negative volatility risk premium. We consider how the volatility risk premium affects the returns of portfolios implementing seven popular option strategies. We find that option… read more here.
Keywords: risk premium; expectations basic; volatility risk; performance expectations ... See more keywords