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| Author: | Grünbichler, A. Bühler, A. |
| Title: | Derivative Produkte auf Volatilität |
| Journal: | Zeitschrift für Betriebswirtschaft
1996 : VOL. 66:5, p. 607-625 |
| Index terms: | STOCK INDEX OPTIONS VOLATILITY PRICING DERIVATIVE SECURITIES RISK EMPIRICAL RESEARCH |
| Language: | ger |
| Abstract: | In this paper we give a detailed description of the Volatility Index (VIX) calculated by the Chicago Board of Options Exchange (CBOE). It turns out that the VIX shows a strong mean-reversion behavior. This finding has very strong implications on the pricing of derivative products based on such an index. A pricing model on the VIX should therefore explicitly allow for mean-reversion of the underlying process. Futhermore we show that a volatility index provides important information about the risk structure of the market. |
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