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Local volatility of volatility for the VIX market

โœ Scribed by Gabriel Drimus, Walter Farkas

Book ID
120764168
Publisher
Springer US
Year
2013
Tongue
English
Weight
539 KB
Volume
16
Category
Article
ISSN
1380-6645

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๐Ÿ“œ SIMILAR VOLUMES

Volatility components: The term structur
Volatility components: The term structure dynamics of VIX futures
โœ Zhongjin Lu; Yingzi Zhu ๐Ÿ“‚ Article ๐Ÿ“… 2009 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 283 KB

## Abstract In this study we empirically study the variance term structure using volatility index (VIX) futures market. We first derive a new pricing framework for VIX futures, which is convenient to study variance term structure dynamics. We construct five models and use Kalman filter and maximum