Pricing and hedging in the VIX derivative market

R. Kozarski

Research output: ThesisDoctoral Thesis

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Abstract

In course of the analysis, we take advantage of extended market evidence in the model estimation and a more complex design to assess the model pricing and hedging performance. The pursuit of more empirically relevant frameworks pays-off is a more precise pricing. However, instead of developing model’s parametric structure, pricing improvements may also be acquired by combining the available market information. Complementary to pricing, a hedging performance assessment, the outcomes do not improve much when the underlying dynamic is extended by additional empirically sound factors. It seems to imply the belief that the simpler model does not necessarily mean the worse model.
Original languageEnglish
QualificationDoctor of Philosophy
Awarding Institution
  • Tilburg University
Supervisors/Advisors
  • Drost, Feike C., Co-promotor
  • Melenberg, Bertrand, Promotor
Award date17 May 2013
Place of PublicationTilburg
Publisher
Print ISBNs9789056683528
Publication statusPublished - 2013

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