Not all VIXs are (Informationally) equal: Evidence from affine GARCH option pricing models-Reference-Cited by-同舟云学术

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Not all VIXs are (Informationally) equal: Evidence from affine GARCH option pricing models

Published:2024-11 Issue: Volume:69 Page:106053
ISSN:1544-6123
Container-title:Finance Research Letters
language:en
Short-container-title:Finance Research Letters

Author:

Escobar-Anel Marcos^ORCID,Stentoft Lars^ORCID,Ye Xize^ORCID

Publisher

Elsevier BV

Reference16 articles.

1. Generalized autoregressive conditional heteroskedasticity;Bollerslev;J. Econometrics,1986

2. Discriminating between GARCH models for option pricing by their ability to compute accurate VIX measures;Chorro;J. Financ. Econom.,2022

3. GARCH option valuation: Theory and evidence;Christoffersen;J. Deriv.,2013

4. Determining risk model confidence sets;Cummins;Finance Res. Lett.,2017

5. The GARCH option pricing model;Duan;Math. Finance,1995

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