Optimal Volatility Dependent Derivatives in the Stochastic Volatility Model

被引:1
|
作者
Dyachenko, Artem [1 ]
Rieger, Marc Oliver [2 ]
机构
[1] Univ Trier, Trier, Germany
[2] Univ Trier, Banking & Finance, Trier, Germany
来源
JOURNAL OF DERIVATIVES | 2021年 / 28卷 / 04期
关键词
Derivatives; fixed income and structured finance; RISK PREMIA; PRODUCTS; DYNAMICS; RETURNS; OPTIONS; MARKET;
D O I
10.3905/jod.2020.1.122
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We consider derivatives that maximize an investor's expected utility in the stochastic volatility model. We show that the optimal derivative that depends on the stock and its variance significantly outperforms the optimal derivative that depends on the stock only. Such derivatives yield a much higher certainty equivalent return. This result implies that investors could benefit from structured financial products constructed along these ideas.
引用
收藏
页码:24 / 44
页数:21
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