Consistency between S&P500 and VIX derivatives: Insights from model‐free VIX futures pricing
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DOI: 10.1002/fut.21919
Abstract: This paper studies the interdependencies between the VIX futures market and the S&P500 and VIX options markets using a model‐free pricing method for VIX futures. We show that the replication strategy for the VIX futures… read more here.
Keywords: p500 vix; vix; vix futures; vix derivatives ... See more keywords