L’article de recherche en finance quantitative issu des travaux de recherche de Martino Grasselli, coordinateur de la recherche De Vinci Finance Lab et Jacinto Marabel Romo, University of Alcal à Madrid est paru dans la revue internationale The Journal of Futures Markets.
The Journal of Futures Markets est une revue mensuelle académique « peer-reviewed » qui couvre l’évolution des contrats à terme financiers et des dérivés. Le rédacteur en chef est Robert Webb. La revue couvre des sujets tels que : contrats à terme , produits dérivés, gestion des risques et contrôle, l’ingénierie financière, nouveaux instruments financiers, les stratégies de couverture, analyse des systèmes de négociation, juridiques, comptables, questions réglementaires , et le portefeuille optimization.La revue est publiée par Wiley- Blackwell .
Abstract
Target volatility options (TVO) are a new class of derivatives whose payoff depends on some measure of volatility. These options allow investors to take a joint exposure to the evolution of the underlying asset, as well as to its realized volatility. In equity options markets the slope of the skew is largely independent of the volatility level. A single-factor Heston based volatility model can generate steep skew or flat skew at a given volatility level but cannot generate both for a given parameterization. Since the payoff corresponding to TVO is a function of the joint evolution of the underlying asset and its realized variance, the consideration of stochastic skew is a relevant question for the valuation of TVO. In this sense, this article studies the effect of considering a multifactor stochastic volatility specification in the valuation of the TVO as well as forward-start TVO. © 2015 Wiley Periodicals, Inc. Jrl Fut Mark
http://onlinelibrary.wiley.com/enhanced/doi/10.1002/fut.21720/
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