Valuing futures and options on volatility

被引：120

作者：

Grunbichler, A ^{[1
]}

Longstaff, FA ^{[1
]}

机构：

[1] UNIV CALIF LOS ANGELES,JOHN E ANDERSON GRAD SCH MANAGEMENT,LOS ANGELES,CA 90024

来源：

JOURNAL OF BANKING & FINANCE | 1996年 / 20卷 / 06期

关键词：

options; exotic options; valuation; stochastic volatility;

D O I：

10.1016/0378-4266(95)00034-8

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper presents simple closed-form expressions for volatility futures and option prices and examines their implications for the characteristics of these securities. We show that the properties of these volatility derivatives are fundamentally different from those of conventional option and futures contracts. This analysis also provides insights into the role that volatility derivatives may play in managing and hedging volatility risk in financial markets.

引用

页码：985 / 1001

页数：17

共 27 条

[1]

Abramowitz M., 1970, HDB MATH FUNCTIONS

[2] PRICING OF COMMODITY CONTRACTS [J].

BLACK, F .

JOURNAL OF FINANCIAL ECONOMICS, 1976, 3 (1-2) :167-179

[3] PRICING OF OPTIONS AND CORPORATE LIABILITIES [J].

BLACK, F ;

SCHOLES, M .

JOURNAL OF POLITICAL ECONOMY, 1973, 81 (03) :637-654

[4]

Brenner M., 1989, FINANC ANAL J, V45, P61, DOI DOI 10.2469/FAJ.V45.N4.61

[5] OPTION PRICING - SIMPLIFIED APPROACH [J].

COX, JC ;

ROSS, SA ;

RUBINSTEIN, M .

JOURNAL OF FINANCIAL ECONOMICS, 1979, 7 (03) :229-263

[6] VALUATION OF OPTIONS FOR ALTERNATIVE STOCHASTIC-PROCESSES [J].

COX, JC ;

ROSS, SA .

JOURNAL OF FINANCIAL ECONOMICS, 1976, 3 (1-2) :145-166

[7] THE RELATION BETWEEN FORWARD PRICES AND FUTURES PRICES [J].

COX, JC ;

INGERSOLL, JE ;

ROSS, SA .

JOURNAL OF FINANCIAL ECONOMICS, 1981, 9 (04) :321-346

[8] A THEORY OF THE TERM STRUCTURE OF INTEREST-RATES [J].

COX, JC ;

INGERSOLL, JE ;

ROSS, SA .

ECONOMETRICA, 1985, 53 (02) :385-407

[9] 2 SINGULAR DIFFUSION PROBLEMS [J].

FELLER, W .

ANNALS OF MATHEMATICS, 1951, 54 (01) :173-182

[10] EXPECTED STOCK RETURNS AND VOLATILITY [J].

FRENCH, KR ;

SCHWERT, GW ;

STAMBAUGH, RF .

JOURNAL OF FINANCIAL ECONOMICS, 1987, 19 (01) :3-29

← 1 2 3 →