Volatility Derivatives and Model-free Implied Leverage

Fukasawa, Masaaki

doi:info:doi/10.1142/S0219024914500022

このアイテムのアクセス数:25件（2021-03-09 00:10 集計）

このアイテムへのリンクには次のURLをご利用ください:http://hdl.handle.net/11094/77642

閲覧可能ファイル

ファイル	フォーマット	サイズ	閲覧回数	説明
ijtaf17_01_1450002	pdf	308 KB	23

論文情報

タイトル	Volatility Derivatives and Model-free Implied Leverage
著者	Fukasawa, Masaaki Fukasawa, Masaaki
キーワード等	Variance swap
	Gamma swap
	Leverage effect
	Volatility skew
	Robust hedging
	Asymptotic expansion
内容	Electronic version of an article published as International Journal of Theoretical and Applied Finance, 17, 1, 2014, 1450002 https://doi.org/10.1142/S0219024914500022 © copyright World Scientific Publishing Company https://www.worldscientific.com/worldscinet/ijtaf
抄録	We revisit robust replication theory of volatility derivatives and introduce a broader class which may be considered as the second generation of volatility derivatives. One of them is a swap contract on the quadratic covariation between an asset price and the model-free implied variance (MFIV) of the asset. It can be replicated in a model-free manner and its fair strike may be interpreted as a model-free measure for the covariance of the asset price and the realized variance. The fair strike is given in a remarkably simple form, which enable to compute it from the Black–Scholes implied volatility surface. We call it the model-free implied leverage (MFIL) and give several characterizations. In particular, we show its simple relation to the Black–Scholes implied volatility skew by an asymptotic method. Further to get an intuition, we demonstrate some explicit calculations under the Heston model. We report some empirical evidence from the time series of the MFIV and MFIL of the Nikkei stock average.
公開者	World Scientific
掲載誌名	International Journal of Theoretical and Applied Finance
巻	17
号	1
開始ページ	1450002
刊行年月	2014-02
ISSN	02190249
NCID	AA11257376
DOI (出版社版)	info:doi/10.1142/S0219024914500022
URL	http://hdl.handle.net/11094/77642
関連情報 (references)	https://www.worldscientific.com/worldscinet/ijtaf
権利情報	© copyright World Scientific Publishing Company
言語	英語
カテゴリ	学術雑誌論文 Journal Article

著者版フラグ	author
NII資源タイプ	学術雑誌論文
ローカル資源タイプ	学術雑誌論文
dcmi資源タイプ	text
DCTERMS.bibliographicCitation	International Journal of Theoretical and Applied Finance.17(1) P.1450002
DC.title	Volatility Derivatives and Model-free Implied Leverage
DC.creator	Fukasawa, Masaaki
DC.publisher	World Scientific
DC.language" scheme="DCTERMS.RFC1766	英語
DCTERMS.issued" scheme="DCTERMS.W3CDTF	2014-02
DC.identifier	info:doi/10.1142/S0219024914500022
DC.identifier" scheme="DCTERMS.URI	http://hdl.handle.net/11094/77642
DC.subject	Variance swap
	Gamma swap
	Leverage effect
	Volatility skew
	Robust hedging
	Asymptotic expansion
DC.description	Electronic version of an article published as International Journal of Theoretical and Applied Finance, 17, 1, 2014, 1450002 https://doi.org/10.1142/S0219024914500022 © copyright World Scientific Publishing Company https://www.worldscientific.com/worldscinet/ijtaf
DCTERMS.abstract	We revisit robust replication theory of volatility derivatives and introduce a broader class which may be considered as the second generation of volatility derivatives. One of them is a swap contract on the quadratic covariation between an asset price and the model-free implied variance (MFIV) of the asset. It can be replicated in a model-free manner and its fair strike may be interpreted as a model-free measure for the covariance of the asset price and the realized variance. The fair strike is given in a remarkably simple form, which enable to compute it from the Black–Scholes implied volatility surface. We call it the model-free implied leverage (MFIL) and give several characterizations. In particular, we show its simple relation to the Black–Scholes implied volatility skew by an asymptotic method. Further to get an intuition, we demonstrate some explicit calculations under the Heston model. We report some empirical evidence from the time series of the MFIV and MFIL of the Nikkei stock average.
DC.rights	© copyright World Scientific Publishing Company
citation_title	Volatility Derivatives and Model-free Implied Leverage
citation_author	Fukasawa, Masaaki
citation_publisher	World Scientific
citation_language	英語
citation_date	2014-02
citation_journal_title	International Journal of Theoretical and Applied Finance
citation_volume	17
citation_issue	1
citation_firstpage	1450002
citation_issn	02190249
citation_doi	info:doi/10.1142/S0219024914500022
citation_public_url	http://hdl.handle.net/11094/77642
citation_keywords	Variance swap
	Gamma swap
	Leverage effect
	Volatility skew
	Robust hedging
	Asymptotic expansion

閲覧可能ファイル

論文情報

論文詳細を表示