This work begins with an evaluation of the Black-Scholes model. After identifying its peculiarities and weaknesses, particularly the use of a constant volatility parameter, more recent models used to assess volatility are considered. The main purpose of the thesis is the analysis of the index of fear, VIX index, based on model-free volatility. A practical analysis of this index is essential to understand the investment strategies involving VIX derivatives.
The evolution of volatility models: analysis of the VIX index
Karahodzic, Zerina
2020/2021
Abstract
This work begins with an evaluation of the Black-Scholes model. After identifying its peculiarities and weaknesses, particularly the use of a constant volatility parameter, more recent models used to assess volatility are considered. The main purpose of the thesis is the analysis of the index of fear, VIX index, based on model-free volatility. A practical analysis of this index is essential to understand the investment strategies involving VIX derivatives.File in questo prodotto:
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Utilizza questo identificativo per citare o creare un link a questo documento:
https://hdl.handle.net/20.500.14247/11554