Volatility derivatives

The Digital Institutional Repository of IIM Bangalore

Please use this identifier to cite or link to this item: https://repository.iimb.ac.in/handle/2074/18449

DC Field	Value	Language
dc.contributor.advisor	Sen, Anindya	-
dc.contributor.author	Agnihotri, Kaustubh
dc.contributor.author	Swaroop, Sarthak
dc.date.accessioned	2021-04-28T11:13:42Z	-
dc.date.available	2021-04-28T11:13:42Z	-
dc.date.issued	2011
dc.identifier.uri	https://repository.iimb.ac.in/handle/2074/18449	-
dc.description.abstract	Before getting into the details of all the exotic derivatives based on volatility asset as such, it is imperative to get the whole concept of this term of volatility and how the Volatility Index concept is created. The flow of this discussion would begin with the option pricing model of Black-Scholes. We would briefly introduce the facets of this model and also some of the important parameters which would be later used to build upon the volatility concept and also its application in form of Variance Swap
dc.publisher	Indian Institute of Management Bangalore
dc.relation.ispartofseries	PGP_CCS_P11_303
dc.subject	Derivatives
dc.subject	Volatility trading
dc.subject	VIX Index
dc.subject	Volatility asset
dc.subject	Black-Scholes model
dc.subject	Volatility measures
dc.title	Volatility derivatives
dc.type	CCS Project Report-PGP
dc.pages	17p.
dc.identifier.accession	E36753
Appears in Collections:	2011

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