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
Pricing VIX derivatives with infinite‐activity jumps
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DOI: 10.1002/fut.22074
Abstract: In this paper, we investigate a two‐factor VIX model with infinite‐activity jumps, which is a more realistic way to reduce errors in pricing VIX derivatives, compared with Mencia and Sentana (2013), J Financ Econ, 108,… read more here.
Keywords: pricing vix; vix derivatives; infinite activity; activity jumps ... See more keywords