Arbitrage pricing theory and risk-neutral measures
✍ Scribed by Rásonyi, Miklós
- Publisher
- Springer
- Year
- 2004
- Weight
- 173 KB
- Volume
- 27
- Category
- Article
- ISSN
- 1127-1035
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## Abstract This study derives closed‐form solutions to the fair value of VIX (volatility index) futures under alternate stochastic variance models with simultaneous jumps both in the asset price and variance processes. Model parameters are estimated using an integrated analysis of integrated volat
eynes (1923) and Hicks (1939), hypothesized that futures prices are downward biased estimates of expected spot prices. Any empirical study that employs returns on futures contracts is actually a joint test of both the Keynes-Hicks hypothesis and of the assumed model of returns. Models based on the C