VIX maturity interpolation

DOI10.1007/S11147-025-09210-XMaRDI QIDQ6875339zbMATH OpenFDO

Authors Torben G. Andersen, Oleg Bondarenko, Maria T. Gonzalez-Perez

Publication date 14 January 2026

Published in Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S11147-025-09210-X

zbMATH Keywords

historical simulationmaturity interpolationmodel-free implied volatilityVIXweekly options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites work

• Arithmetic variance swaps
• Variance trading and market price of variance risk
• What is the expected return on the market?

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