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Contribution Details

Type Journal Article
Scope Discipline-based scholarship
Title Volatility Dependent Structured Products
Organization Unit
Authors
  • Artem Dyachenko
  • Erich Walter Farkas
  • Marc Oliver Rieger
Item Subtype Original Work
Refereed Yes
Status Published electronically before print/final form (Epub ahead of print)
Language
  • English
Journal Title Journal of Investing
Geographical Reach international
Volume forthcoming
Page Range -
Date 2020
Abstract Text We construct a derivative that depends on the SPY and VIX and, in this way, incorporates both the market risk premium and the variance risk premium. We show that the product's Sharpe ratio is higher than the SPY Sharpe ratio. If we invest $10000 into the product, the products' payoff is around $60000 at the end of 2018. In comparison, if we invest $10000 into the SPY, the SPY payoff is around $30000.
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