RT Generic
T1 Equity, commodity and interest rate volatility derivatives
A1 Balbás, Alejandro
A1 Blanco, Iván
A1 Navarro, Eliseo
A2 Universidad Carlos III de Madrid. Instituto para el Desarrollo Empresarial (INDEM), 
AB A new methodology to construct synthetic volatility derivatives is presented. Theunderlying asset price process is very general, since equity, commodities and interestrates are included. The focus is on volatility swaps and volatility swap options, butmuch more derivatives may be considered. The proposed methods optimize the conditionalvalue at risk of the non-hedged risk, and yields both bid and ask prices, aswell as optimal hedging strategies for both purchases and sales. Upper bounds for thebroker capital losses under very negative scenarios are given. Numerical experimentsare presented so as to illustrate the performance in practice of this new approach.
SN 1989-8843
YR 2013
FD 2013
LK https://hdl.handle.net/10016/17548
UL https://hdl.handle.net/10016/17548
LA eng
NO Research partially supported by “Comunidad Autónoma de Madrid” (Spain, Grant S2009/ESP −1594) and “MEyC” (Spain, Grants ECO2009−14457−C04 and ECO2012−39031−C02−01).
DS e-Archivo
RD 17 jul. 2024