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A short history of the VOLAX - or how we tried to trade implied volatility (Krotka historia VOLAX-u - czyli jak probowano handlowac implikowana zmiennoscia)

Author

Listed:
  • Tomasz Garlinski
  • Rafal Weron

Abstract

We discuss the origins and the possible reasons for the sudden death of the VOLAX contract.

Suggested Citation

  • Tomasz Garlinski & Rafal Weron, 1999. "A short history of the VOLAX - or how we tried to trade implied volatility (Krotka historia VOLAX-u - czyli jak probowano handlowac implikowana zmiennoscia)," HSC Research Reports HSC/99/01, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    • Handle: RePEc:wuu:wpaper:hsc9901
    as

    Download full text from publisher

    File URL: http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_99_01.pdf
    File Function: Final version, 1999 (in Polish)
    Download Restriction: no
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    More about this item

    Keywords

    VOLAX contract; Volatility; Black-Scholes model;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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