STATISTICS OF VIX FUTURES AND APPLICATIONS TO TRADING VOLATILITY EXCHANGE-TRADED PRODUCTS

DOI10.1142/S0219024918500619zbMath1419.91604MaRDI QIDQ3121229

Andrew Papanicolaou, Marco Avellaneda

Publication date: 15 March 2019

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

zbMATH Keywords

VIX futurescontangovolatility ETNs

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

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