VIX futures term structure and the expectations hypothesis

DOI10.1080/14697688.2019.1684549zbMath1466.91321OpenAlexW2990206785WikidataQ106850981 ScholiaQ106850981MaRDI QIDQ4991047

Ivan Oscar Asensio

Publication date: 2 June 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://repository.usfca.edu/cgi/viewcontent.cgi?article=1016&context=fe

zbMATH Keywords

term structureexpectations hypothesisimplied volatilitiesquantitative trading strategiesfinancial futuresrole of derivatives securities mis-pricing

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• The VIX, the variance premium and stock market volatility
• The term structure of equity and variance risk premia
• VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING
• Unbiased Estimators of Long-Run Expected Rates of Return
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Common risk factors in the returns on stocks and bonds
• Forecasting S\&P 100 volatility: The incremental information content of implied volatilities and high-frequency index returns

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