Volatility Dependent Structured Products

被引：1

作者：

Dyachenko, Artem ^{[1
]}

Farkas, Walter ^{[2
]}

Rieger, Marc Oliver ^{[3
]}

机构：

[1] Univ Trier, Trier, Germany

[2] Univ Zurich, Quantitat Finance, Zurich, Switzerland

[3] Univ Trier, Banking & Financial Econ, Trier, Germany

来源：

JOURNAL OF INVESTING | 2021年 / 30卷 / 02期

关键词：

D O I：

10.3905/joi.2020.1.162

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We construct a derivative that depends on the SPY and VIX and, in this way, incorporates both the market risk premium and the variance risk premium. We show that the product's Sharpe ratio is higher than the SPY Sharpe ratio. If we had invested $10,000 into the product, the product's payoff would have been about $60,000 at the end of 2018. In comparison, if we invested $10,000 into the SPY, the SPY payoff would be only about $30,000.

引用

页码：53 / 60

页数：8

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