TY - JOUR
T1 - BeVIXed: Trading Fear in the Volatility Complex
AU - Schenk-Hoppé, Klaus Reiner
AU - Varadarajan, Chakravarthy
PY - 2023/5/4
Y1 - 2023/5/4
N2 - We explain the evolution of the volatility market and present the infamous day of ‘Volmageddon’ as an insightful case study. Our survey focuses on the pricing and trading of volatility-linked assets, highlighting the impact of mechanical hedging in markets for futures and higher-order derivatives. We supplement the vast statistical analysis of volatility derivatives with a financial economist’s perspective.
AB - We explain the evolution of the volatility market and present the infamous day of ‘Volmageddon’ as an insightful case study. Our survey focuses on the pricing and trading of volatility-linked assets, highlighting the impact of mechanical hedging in markets for futures and higher-order derivatives. We supplement the vast statistical analysis of volatility derivatives with a financial economist’s perspective.
U2 - 10.3390/risks11050086
DO - 10.3390/risks11050086
M3 - Article
SN - 2227-9091
VL - 11
JO - Risks
JF - Risks
IS - 5
M1 - 86
ER -