Pricing and hedging in the VIX derivative market
AbstractIn 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 InfoPaper provided by Tilburg University in its series Open Access publications from Tilburg University with number urn:nbn:nl:ui:12-5905577.
Date of creation: 2013
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Publication status: Published
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-06-04 (All new papers)
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