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Pricing and hedging in the VIX derivative market

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  • Kozarski, R.

    (Tilburg University)

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    Abstract

    In course of the analysis, we take advantage of extended market evidence in the model estimation and a more complex design to assess the model pricing and hedging performance. The pursuit of more empirically relevant frameworks pays-off is a more precise pricing. However, instead of developing model’s parametric structure, pricing improvements may also be acquired by combining the available market information. Complementary to pricing, a hedging performance assessment, the outcomes do not improve much when the underlying dynamic is extended by additional empirically sound factors. It seems to imply the belief that the simpler model does not necessarily mean the worse model.

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    Bibliographic Info

    Paper provided by Tilburg University in its series Open Access publications from Tilburg University with number urn:nbn:nl:ui:12-5905577.

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    Length: 183
    Date of creation: 2013
    Date of revision:
    Publication status: Published
    Handle: RePEc:ner:tilbur:urn:nbn:nl:ui:12-5905577

    Note: Dissertation
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    Web page: http://www.tilburguniversity.edu/

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