This study develops a term structure model for VIX futures. Instead of deriving the VIX futures price from a model for the instantaneous variance of the S&P 500 or a model for the VIX, the VIX futures price dynamics are specified exogenously. The empirical features of VIX futures returns (positive s
A jump diffusion model for VIX volatility options and futures
β Scribed by Dimitris Psychoyios; George Dotsis; Raphael N. Markellos
- Book ID
- 106516350
- Publisher
- Springer US
- Year
- 2009
- Tongue
- English
- Weight
- 602 KB
- Volume
- 35
- Category
- Article
- ISSN
- 0924-865X
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## Abstract A way to estimate the value of an American exchange option when the underlying assets follow jumpβdiffusion processes is presented. The estimate is based on combining a European exchange option and a Bermudan exchange option with two exercise dates by using Richardson extrapolation as p
We develop a general model to price VIX futures contracts. The model is adapted to test both the constant elasticity of variance (CEV) and the Cox-Ingersoll-Ross formulations, with and without jumps. Empirical tests on VIX futures prices provide out-of-sample estimates within 2% of the actual future