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Книга Modeling and Forecasting Volatility and Prices for SET50 Index Options Chanyapat Wiphatthanananthakul

Modeling and Forecasting Volatility and Prices for SET50 Index Options

Автор: Chanyapat Wiphatthanananthakul
Език: Английски език
Корици: С меки корици
Издател: Lambert Academic Publishing
Наличност: Външен склад
Изпращаме след 8-11 дни
56.22 € 109.95 лв
In 2003, the Chicago Board Options Exchange (CBOE) made two key enhancements to the volatility index...

Информация за книгата

Автор
Chanyapat Wiphatthanananthakul
Език
Английски език
Корици
Книга - С меки корици
Издадена
2018
страници
176
EAN
9783659531446
Enbook ID
19794285
Издател
Lambert Academic Publishing
Теглоt
268
Размери
152 x 229 x 10

Пълно описание

In 2003, the Chicago Board Options Exchange (CBOE) made two key enhancements to the volatility index (VIX) methodology based on S&P options. The new VIX methodology seems to be based on a complicated formula to calculate expected volatility. In this book, with the use of Thailand's SET50 Index Options data, we modify the apparently complicated VIX formula to a simple relationship, which has a higher negative correlation between the VIX for Thailand (TVIX) and SET50 Index Options. We show that TVIX provides more accurate forecasts of option prices than the simple expected volatility (SEV) index, but the SEV index outperforms TVIX in forecasting expected volatility. Therefore, the SEV index would seem to be a superior tool as a hedging diversification tool because of the high negative correlation with the volatility index.