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Valuing Futures and Options on Volatility


Andreas Grünbichler


University of St. Gallen - Swiss Institute of Banking and Finance

Francis A. Longstaff


University of California, Los Angeles (UCLA) - Finance Area; National Bureau of Economic Research (NBER)

Journal of Banking & Finance, 1996, 985-1001; The Journal of Finance, 1995, 974-975

Abstract:     
This paper derives simple closed-form expressions for volatility futures and option prices and examines their implications for the characteristics of these securities. We show that the properties of these volatility derivatives are fundamentally different from those of conventional options and futures contracts. This analysis also provides insights into the role that volatility derivatives may play in managing and hedging volatility risk in financial markets.

JEL Classification: G13

Accepted Paper Series


Date posted: September 19, 2001  

Suggested Citation

Grünbichler, Andreas and Longstaff, Francis A., Valuing Futures and Options on Volatility. Journal of Banking & Finance, 1996, 985-1001; The Journal of Finance, 1995, 974-975. Available at SSRN: http://ssrn.com/abstract=283872

Contact Information

Andreas Grünbichler (Contact Author)
University of Saint Gallen - Swiss Institute of Banking and Finance ( email )
Rosenbergstrasse 52
St. Gallen, Rosenbergstrasse 52 9000
Switzerland
+ 41 71 224 7074 (Phone)
+ 41 71 224 7088 (Fax)
HOME PAGE: http://www.sbf.unisg.ch
Francis A. Longstaff
University of California, Los Angeles (UCLA) - Finance Area ( email )
Los Angeles, CA 90095-1481
United States
310-825-2218 (Phone)
310-206-5455 (Fax)
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
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