Not logged in.

Quick Search - Contribution

Contribution Details

Type	Working Paper
Scope	Discipline-based scholarship
Title	Volatility Dependent Structured Products
Organization Unit	Quantitative Finance (Erich Walter Farkas)
Authors	Artem Dyachenko Erich Walter Farkas Marc Oliver Rieger
Language	English
Institution	University of Zurich
Series Name	Swiss Finance Institute Research Paper
Number	19-64
Number of Pages	18
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.
Official URL	https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3507456
Export	BibTeX EP3 XML (ZORA)