文章基本信息

标题：The volatility target effect in investment-linked products with embedded American-type derivatives
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作者：Sergio Albeverio ; Victoria Steblovskaya ; Kai Wallbaum 等
期刊名称：Investment Management & Financial Innovations
印刷版ISSN：1810-4967
电子版ISSN：1812-9358
出版年度：2019
卷号：16
期号：3
页码：18-28
DOI：10.21511/imfi.16(3).2019.03
语种：English
出版社：LLC “Consulting Publishing Company “Business Perspectives”
摘要：Volatility Target(VolTarget)strategies as underlying assets for options embedded in investment-linked products have been widely used by practitioners in re?cent years.Available research mainly focuses on European-type options linked to VolTarget strategies.In this paper,VolTarget-linked options of American type are investigated.Within the Heston stochastic volatility model,a numerical study of American put options,as well as American lookback options linked to VolTarget strategies,is performed.These are compared with traditional American-type de?rivatives linked to an equity index.The authors demonstrate that using a Volatility Target strategy as a basis for an embedded American-type derivative may make any protection fees significantly less dependent of changing market volatilities. Replacing an equity index with the VolTarget strategy may also result in reducing guarantee fees of the corresponding protection features in a highly volatile market environment.
关键词：Investment-linked products;Volatility Target(VolTarget) strategy;American options