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An analytical formula for VIX futures and its applications

โœ Scribed by Zhu, Song Ping (author);Lian, Guang Hua (author)

Publisher
John Wiley and Sons
Year
2011
Tongue
English
Weight
312 KB
Volume
32
Category
Article
ISSN
0270-7314

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An analytical formula for VIX futures an
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โœ Zhu, Song Ping (author);Lian, Guang Hua (author) ๐Ÿ“‚ Article ๐Ÿ“… 2011 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 312 KB

In this study we present a closed-form, exact solution for the pricing of VIX futures in a stochastic volatility model with simultaneous jumps in both the asset price and volatility processes. The newly derived formula is then used to show that the well-known convexity correction approximations can

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