Pricing VIX futures: A framework with random level shifts
Author:
Funder
National Natural Science Foundation of China
Publisher
Elsevier BV
Subject
Finance
Reference17 articles.
1. The economic value of realized volatility: using high-frequency returns for option valuation;Christoffersen;J. Financ. Quant. Anal.,2014
2. A closed-form solution for options with stochastic volatility with applications to bond and currency options;Heston;Rev. Financ. Stud.,1993
3. A closed-form GARCH option valuation model;Heston;Rev. Financ. Stud.,2000
4. VIX term structure and VIX futures pricing with realized volatility;Huang;J. Futures Mark.,2019
5. Pricing VIX futures: evidence from integrated physical and risk-neutral probability measures;Lin;J. Futures Mark.,2007
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