May’s unexpected increase in equity market volatility, which led to big mark-to-market losses for some hedge funds, has not dented the variance swaps market, according to dealers. No volume figures on ...

Stochastic volatility is the unpredictable nature of asset price volatility over time. It's a flexible alternative to the Black Scholes' constant volatility assumption.

The definition of risk can take various forms. One of the most used is the standard deviation or portfolio volatility. The evolution of the conditional variance may be parameterized by many different ...

The researchers note that the Black-Scholes model was developed in the 1970s to price simple call and put options, and a key point of the model was that market makers could delta hedge – cancel out ...

A common model for security price dynamics is the continuous-time stochastic volatility model. For this model, Hull and White (1987) show that the price of a derivative claim is the conditional ...

If a baseball season happens this year in America, it’s clear that it will be a short one. The shorter the season, the wider the array of possible outcomes — between May 17th and June 16th in 2001, ...

New exchange-traded solution designed to hedge against and capitalize on U.S. equity market volatility moves Product debuts at a critical time as market participants navigate uncertain macro ...

Gift Article 10 Remaining As a subscriber, you have 10 articles to gift each month. Gifting allows recipients to access the article for free. Cboe Global Markets Inc. wants to give traders another way ...

HONG KONG--(BUSINESS WIRE)--GSR, a global leader in algorithmic digital assets trading and market making, has launched its latest product, the Bitcoin Variance Swap. Investors, traders, and companies ...

CHICAGO, Sept. 11, 2024 /PRNewswire/ — Cboe Global Markets, Inc. (Cboe: CBOE), the world’s leading derivatives and securities exchange network, today announced that its new Cboe S&P 500 Variance ...