Valuing futures and options on volatility
✍ Scribed by Andreas Grünbichler; Francis A. Longstaff
- Book ID
- 116134971
- Publisher
- Elsevier Science
- Year
- 1996
- Tongue
- English
- Weight
- 845 KB
- Volume
- 20
- Category
- Article
- ISSN
- 0378-4266
No coin nor oath required. For personal study only.
📜 SIMILAR VOLUMES
wning a security with a guaranteed future sale price and date is (almost) 0 equivalent to a short-term investment extending to the sale date. Yet, in the Treasury bond futures market the prices seem too low to provide a fair rate of return to those who short T-bond futures. That is, the short term i
This study examines the response of the spot and futures interest rates on the fed funds, Eurodollar, and Libor to the listing of CME fed funds options. With the exception of the Libor futures, the introduction of options is associated with a decrease in the conditional volatility of the interest ra
## Abstract A real option on a commodity is valued using an implied binomial tree (IBT) calibrated using commodity futures options prices. Estimating an IBT in the absence of spot options (the norm for commodities) allows real option models to be calibrated for the first time to market‐implied prob
This article has benefited from the comments and suggestions of two anonymous reviewers. ## 1 Of course, speculation based on fundamentals is likely to be stabilizing rather than destabilizing. Destabilizing speculation may be the result of noise trading (i.e., buying and selling not on the basis