VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING

DOI10.1142/S0219024907004123zbMath1291.91216OpenAlexW3121992266MaRDI QIDQ3444867

Jin E. Zhang, Yingzi Zhu

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

stochastic volatilityVIX futuresvolatility derivativesarbitrage-free modelvariance term structure

Mathematics Subject Classification ID

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

Related Items (8)

Consistent modeling of S\&P 500 and VIX derivatives ⋮ Pricing VXX option with default risk and positive volatility skew ⋮ Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation ⋮ A remark on Lin and Chang's paper `consistent modeling of S\&P 500 and VIX derivatives' ⋮ 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 ⋮ VIX futures term structure and the expectations hypothesis ⋮ A non-linear dynamic model of the variance risk premium

Cites Work

• Estimation of risk-neutral densities using positive convolution approximation
• A Theory of the Term Structure of Interest Rates
• A Risk-Neutral Stochastic Volatility Model
• On the pricing and hedging of volatility derivatives
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Pricing Interest-Rate-Derivative Securities

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