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Contribution Details
Type | Journal Article |
Scope | Discipline-based scholarship |
Title | Volatility Dependent Structured Products |
Organization Unit | |
Authors |
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Item Subtype | Original Work |
Refereed | Yes |
Status | Published in final form |
Language |
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Journal Title | The Journal of investing |
Publisher | Pageant Media |
Geographical Reach | international |
ISSN | 1068-0896 |
Volume | 30 |
Number | 2 |
Page Range | 53 - 60 |
Date | 2021 |
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 had invested $10,000 into the product, the product’s payoff would have been about $60,000 at the end of 2018. In comparison, if we invested $10,000 into the SPY, the SPY payoff would be only about $30,000 |
Related URLs |
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Digital Object Identifier | 10.3905/joi.2020.1.162 |
Other Identification Number | merlin-id:19609 |
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