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- W2546501163 abstract "This chapter focuses on volatility derivatives, like futures and options on a volatility index, and their arbitrage-free valuation. It illustrates the valuation of volatility futures and options according to Grunbichler and Longstaff (GL96). They derive a semi-analytical pricing formula for European volatility call options which is as easy to use as the famous Black-Scholes-Merton formula for equity options pricing. They model volatility directly and make the assumption that volatility follows a square-root diffusion process. The chapter introduces the financial model, the futures and option pricing formulas of Grunbichler and Longstaff as well as a discretization of the model for Monte Carlo simulation purposes. For both the formulas and the Monte Carlo simulation approach, Python implementations are presented. Finally, the chapter shows in detail how to calibrate the GL96 model to market quotes for European call options on the VSTOXX volatility index." @default.
- W2546501163 created "2016-11-11" @default.
- W2546501163 creator A5048036623 @default.
- W2546501163 date "2016-11-04" @default.
- W2546501163 modified "2023-10-01" @default.
- W2546501163 title "Valuing Volatility Derivatives" @default.
- W2546501163 doi "https://doi.org/10.1002/9781119167945.ch6" @default.
- W2546501163 hasPublicationYear "2016" @default.
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