Hedging derivative securities with volatility futures

We show a method to replicate S&P 500 exchange traded fund (ETF) European synthetic put by optimally rebalancing a portfolio of the underlying ETF shares, the VIX futures contracts, and treasury bonds over discrete periods. The motivation for this study is two-fold. Firstly, market-makers in S&a...

Full description

Saved in:
Bibliographic Details
Main Authors: YAP, Kian Leong Nelson, LIM, Kian Guan, ZHAO, Yibao
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2016
Subjects:
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/5266
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English

Similar Items