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Description Table
Article Title: Valuation of VIX and target volatility options with affine GARCH models
Publication Title: Journal of Futures Markets -
Description Fit to VIX call option smiles on October 22, 2008, of the IG‐GARCH model with calibration parameters from Table 8. (a) τ=28 days; (b) τ=56 days; (c) τ=91 days; (d) τ=119 days; (e) τ=147 days....
Article Title: Valuation of VIX and target volatility options with affine GARCH models
Publication Title: Journal of Futures Markets -
Description Fit to VIX call option smiles on October 22, 2008, of the HN‐GARCH model with calibration parameters from Table 8. (a) τ=28 days; (b) τ=56 days; (c) τ=91 days; (d) τ=119 days; (e) τ=147 days....
Article Title: Valuation of VIX and target volatility options with affine GARCH models
Publication Title: Journal of Futures Markets -
Description Table
Article Title: Valuation of VIX and target volatility options with affine GARCH models
Publication Title: Journal of Futures Markets -
Description Table
Article Title: Valuation of VIX and target volatility options with affine GARCH models
Publication Title: Journal of Futures Markets -
Description Table
Article Title: Valuation of VIX and target volatility options with affine GARCH models
Publication Title: Journal of Futures Markets -
Description Comparison of the price differences of TVOs at the two volatility regimes. A negative value means that the TVO price computed by the joint calibration parameters from options on October 22, 2008 is...
Article Title: Valuation of VIX and target volatility options with affine GARCH models
Publication Title: Journal of Futures Markets -
Description Table
Article Title: Valuation of VIX and target volatility options with affine GARCH models
Publication Title: Journal of Futures Markets -
Description Table
Article Title: Valuation of VIX and target volatility options with affine GARCH models
Publication Title: Journal of Futures Markets -
Description Fit to SPX call option smiles on May 16, 2012, of the HN‐GARCH model with joint calibration parameters from Table 13. (a) τ=31 days; (b) τ=44 days; (c) τ=66 days; (d) τ=94 days; (e) τ=129 days; (f)...
Article Title: Valuation of VIX and target volatility options with affine GARCH models
Publication Title: Journal of Futures Markets -
Description Table
Article Title: Valuation of VIX and target volatility options with affine GARCH models
Publication Title: Journal of Futures Markets -
Description Table
Article Title: Valuation of VIX and target volatility options with affine GARCH models
Publication Title: Journal of Futures Markets -
Description Table
Article Title: Valuation of VIX and target volatility options with affine GARCH models
Publication Title: Journal of Futures Markets -
Description Fit to VIX call option smiles on October 22, 2008, of the IG‐GARCH model with joint calibration parameters from Table 12. (a) τ=28 days; (b) τ=56 days; (c) τ=91 days; (d) τ=119 days; (e) τ=147...
Article Title: Valuation of VIX and target volatility options with affine GARCH models
Publication Title: Journal of Futures Markets -
Description Fit to VIX call option smiles on May 16, 2012, of the HN‐GARCH model with calibration parameters from Table 9. (a) τ=35 days; (b) τ=63 days; (c) τ=98 days; (d) τ=126 days; (e) τ=154 days. HN‐GARCH,...
Article Title: Valuation of VIX and target volatility options with affine GARCH models
Publication Title: Journal of Futures Markets -
Description Fit to SPX call option smiles on October 22, 2008, of the IG‐GARCH model with joint calibration parameters from Table 12. (a) τ=31 days; (b) τ=59 days; (c) τ=70 days; (d) τ=87 days; (e) τ=122 days;...
Article Title: Valuation of VIX and target volatility options with affine GARCH models
Publication Title: Journal of Futures Markets -
Description Table
Article Title: Valuation of VIX and target volatility options with affine GARCH models
Publication Title: Journal of Futures Markets -
Description Fit to SPX call option smiles on October 22, 2008, of the HN‐GARCH model with joint calibration parameters from Table 12. (a) τ=31 days; (b) τ=59 days; (c) τ=70 days; (d) τ=87 days; (e) τ=122 days;...
Article Title: Valuation of VIX and target volatility options with affine GARCH models
Publication Title: Journal of Futures Markets -
Description Table
Article Title: Valuation of VIX and target volatility options with affine GARCH models
Publication Title: Journal of Futures Markets -
Description Table
Article Title: Valuation of VIX and target volatility options with affine GARCH models
Publication Title: Journal of Futures Markets -
Description Table
Article Title: Valuation of VIX and target volatility options with affine GARCH models
Publication Title: Journal of Futures Markets -
Description Fit to VIX call option smiles on October 22, 2008, of the HN‐GARCH model with joint calibration parameters from Table 12. (a) τ=28 days; (b) τ=56 days; (c) τ=91 days; (d) τ=119 days; (e) τ=147...
Article Title: Valuation of VIX and target volatility options with affine GARCH models
Publication Title: Journal of Futures Markets -
Description TVO prices as a function of uR for S0=100,Δ=1 (daily observations), σ¯=0.2,h0=4% per year, risk free rate r=2% per year and DTM = 90 computed according to (36). The risk‐neutral GARCH parameters...
Article Title: Valuation of VIX and target volatility options with affine GARCH models
Publication Title: Journal of Futures Markets -
Description Fit to SPX call option smiles on May 16, 2012, of the IG‐GARCH model with joint calibration parameters from Table 13. (a) τ=31 days; (b) τ=44 days; (c) τ=66 days; (d) τ=94 days; (e) τ=129 days; (f)...
Article Title: Valuation of VIX and target volatility options with affine GARCH models
Publication Title: Journal of Futures Markets -
Description Fit to VIX call option smiles on May 16, 2012, of the IG‐GARCH model with joint calibration parameters from Table 13. (a) τ=35 days; (b) τ=63 days; (c) τ=98 days; (d) τ=126 days; (e) τ=154 days....
Article Title: Valuation of VIX and target volatility options with affine GARCH models
Publication Title: Journal of Futures Markets -
Description Fit to VIX call option smiles on May 16, 2012, of the IG‐GARCH model with calibration parameters from Table 9. (a) τ=35 days; (b) τ=63 days; (c) τ=98 days; (d) τ=126 days; (e) τ=154 days. IG‐GARCH,...
Article Title: Valuation of VIX and target volatility options with affine GARCH models
Publication Title: Journal of Futures Markets -
Description VIX call option prices as a function of uR for VIX0=15,Δ=1 (daily observations), risk free rate r=2% per year and DTM = 90 computed according to (24). The risk‐neutral GARCH parameters are...
Article Title: Valuation of VIX and target volatility options with affine GARCH models
Publication Title: Journal of Futures Markets -
Description Table
Article Title: Valuation of VIX and target volatility options with affine GARCH models
Publication Title: Journal of Futures Markets -
Description Table
Article Title: Valuation of VIX and target volatility options with affine GARCH models
Publication Title: Journal of Futures Markets -
Description Comparison of the price surfaces of TVOs obtained from semiclosed‐form solution from the HN‐GARCH model and the IG‐GARCH model with S0=100,VIX0=69.65, and σ¯=0.15. Parameters are taken from Table...
Article Title: Valuation of VIX and target volatility options with affine GARCH models
Publication Title: Journal of Futures Markets