| Issue |
ITM Web Conf.
Volume 71, 2025
International Conference on Mathematics, its Applications and Mathematics Education (ICMAME 2024)
|
|
|---|---|---|
| Article Number | 01009 | |
| Number of page(s) | 9 | |
| DOI | https://doi.org/10.1051/itmconf/20257101009 | |
| Published online | 06 February 2025 | |
The Mathematics of Finance: Pricing Volatility derivatives
Department of Mathematics, Faculty of Science, Chiang Mai University, 50300 Thailand
* Corresponding author: parkpoom.phetpradap@cmu.ac.th
In the increasingly complex world of financial markets, the scope of mathematical finance has expanded beyond traditional stock trading to include derivatives on various financial indices. The trading of stock derivatives has become commonplace across global markets. Furthermore, volatility derivatives, which are based on the volatility Index (VIX), have gained significant popularity in recent years. These instruments have been actively traded since the early 2000s. The objective of this article is to review some fundamental results on the pricing of basic volatility derivatives, under the Black-Scholes framework and other mathematical models.
© The Authors, published by EDP Sciences, 2025
This is an Open Access article distributed under the terms of the Creative Commons Attribution License 4.0, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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