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Selected type: E-Book. Added to Your Shopping Cart. View on Wiley Online Library. This is a dummy description. Popular guide to options pricing and position sizing for quant traders In this second edition of this bestselling book, Sinclair offers a quantitative model for measuring volatility in order to gain an edge in everyday option trading endeavors.

On the other hand, the annual volatility raises from Figure 9. Figure Premiums paid blue line and respective gains received red line over the sample period. Volatility as an asset class and trading tool continues to be a rapidly growing and developing area in the financial industry. Trading volatility as an asset class in its own right has been established for a number of reasons. Investors may obtain excellent diversification by adding volatility to their portfolios. This is not least attributable to its negative correlation with equity market returns.

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Investors may also attain disaster insurance against market crashes by holding volatility in an equity portfolio as it tends to increase significantly at such times. These features, among others, make investments in volatility an ideal instrument for hedging purposes. These hypotheses are supported by the studies referred to in this work. Moreover, its application is not limited to hedgers only. Volatility properties, such as mean reversion or volatility clustering, allow investors to make better predictions on the long-term future development of volatility.

Volatility products are a topic with plenty of room for future research. Many volatility products, such as options and futures on the VIX, have not been traded for a very long time, but have nonetheless recorded a significant increase in average trading volume. Especially in the case of newly introduced volatility products, such as certificates on volatility indices, it is necessary to examine what the long-term yield opportunities look like and in which areas their application might be worthwhile.

With this empirical finding in mind, the applications of volatility derivatives obviously mainly make sense from a tactical market perspective rather than a strategic one. The authors declare no conflicts of interest regarding the publication of this paper. The Journal of Business, 62, Pricing, Hedging and Trading Financial Instruments. Chichester: Wiley. Journal of Financial Economics, 61, Studies of Stock Price Volatility Changes. The Pricing of Options and Corporate Liabilities. Journal of Political Economy, 81, White Paper: Cboe Volatility Index.

Journal of Financial Economics, 10, Option Pricing. Journal of Financial Economics, 7, Black-Scholes Formula.

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Cont Ed. Innovative Investmentstrategien. Wiesbaden: Gabler. Statistical Properties of the Volatility of Price Fluctuations.

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Physical Review E, 60, The Variation of Certain Speculative Prices. The Journal of Business, 36, Option Volatility and Pricing 2nd ed. Trading Options Greeks 2nd ed. New York: Bloomberg Press. Trading VIX Derivatives.

Option Volatility and Pricing

Hoboken, NJ: Wiley. Volatility Trading 2nd ed. Wall Street Journal. Wertpapiermanagement 10th ed. Econometrica, 51, Modelling Financial Time Series. Daily Stock Market Volatility. Management Science, 38, Share This Article:. The paper is not in the journal.

Go Back HomePage. DOI: Ernst J. Volatility and the different types of volatility are discussed.

It elabo-rates upon assumptions of option pricing models and specifies which complications accompany the determination of volatility. The weaknesses of the Black-Scholes-Merton model are illuminated and the difference between the model assumptions regarding volatility and market reality is identified. Using the skew- and term-curve-effect, the paper demonstrates how volatility behaves in reality towards other model parameters.

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In terms of pure volatility trading, the volatility derivatives are presented and analysed in terms of their merits and fields of application. Additionally, the stylized facts about volatility are considered. Introduction Volatility as an indicator used to measure the fluctuating intensity of stock prices or rates in financial markets has gained significant attention in recent years.

Parameter Volatility in the Black-Scholes-Merton Option Pricing Model Multiple model approaches for the valuation of financial options have been established. Conflicts of Interest The authors declare no conflicts of interest regarding the publication of this paper. Cite this paper J.

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Fahling, E. Journal of Financial Risk Management , 7 , References [ 1 ] Akgiray, V. Please enable JavaScript to view the comments powered by Disqus. JFRM Subscription. E-Mail Alert. JFRM Most popular papers. History Issue.

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Recommend to Library. Contact Us. All Rights Reserved. Akgiray, V. Alexander, C. Andersen, T. Black, F. Chicago Board Options Exchange Christie, A. Cizeau, P. Cox, J. Davis, M. Figlewski, S. Hilpold, C. Lee, B. Liu, Y. Mandelbrot, B. Natenberg, S.