Tag Archives: derivatives

The decline in volatility: measuring risk aversion from option prices

Although the world appears a very turbulent place, financial volatility is currently rather low. How do we know this? One method widely used by commentators and market analysts is to refer to a measure of global risk aversion called the VIX. This post explains how can we infer something about market participants’ attitudes to risk, based on option pricing theory… Continue Reading

We are using cookies on our website

Are you happy to accept our analytics cookies, which help us learn about our website visitors and their use of this site? Learn how to disable all cookies.