Valuing Futures and Options on Volatility
Posted: 19 Sep 2001
There are 2 versions of this paper
Abstract
This paper derives simple closed-form expressions for volatility futures and option prices and examines their implications for the characteristics of these securities. We show that the properties of these volatility derivatives are fundamentally different from those of conventional options and futures contracts. This analysis also provides insights into the role that volatility derivatives may play in managing and hedging volatility risk in financial markets.
JEL Classification: G13
Suggested Citation: Suggested Citation
Grünbichler, Andreas and Longstaff, Francis A., Valuing Futures and Options on Volatility. Available at SSRN: https://ssrn.com/abstract=283872
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.