VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING

DOI10.1142/S0219024907004123MaRDI QIDQ3444867zbMATH OpenOpenAlexFDO

Authors Yingzi Zhu, Jin E. Zhang

Publication date 5 June 2007

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024907004123

zbMATH Keywords

arbitrage-free modelstochastic volatilityvariance term structureVIX futuresvolatility derivatives

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Forward variance dynamics: Bergomi's model revisited
• A consistent pricing model for index options and volatility derivatives
• The VIX and future information
• New no-arbitrage conditions and the term structure of interest rate futures
• Local volatility of volatility for the VIX market

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A Risk-Neutral Stochastic Volatility Model
• A theory of the term structure of interest rates
• Estimation of risk-neutral densities using positive convolution approximation
• On the pricing and hedging of volatility derivatives
• Pricing interest-rate-derivative securities

Cited in

(15)

• Pricing VXX option with default risk and positive volatility skew
• A non-linear dynamic model of the variance risk premium
• Dissecting the tracking performance of regular and leveraged VIX ETPs
• Statistics of VIX futures and applications to trading volatility exchange-traded products
• TERM STRUCTURE OF VANILLA OPTIONS
• A remark on Lin and Chang's paper `consistent modeling of S\&P 500 and VIX derivatives'
• Fed funds futures variance futures
• Forward variance dynamics: Bergomi's model revisited
• VIX futures term structure and the expectations hypothesis
• The VIX and future information
• Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model
• Mitigating interest rate risk in variable annuities: an analysis of hedging effectiveness under model risk
• Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
• Consistent modeling of S\&P 500 and VIX derivatives
• New no-arbitrage conditions and the term structure of interest rate futures

This page was built for publication: VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3444867)