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The rise and fall of S&P500 variance futures

✍ Scribed by Chang, Chia-Lin; Jimenez-Martin, Juan-Angel; McAleer, Michael; Amaral, Teodosio Perez


Book ID
122392827
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
1020 KB
Volume
25
Category
Article
ISSN
1062-9408

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## Abstract In this article, we study the market of the Chicago Board Options Exchange S&P 500 three‐month variance futures that were listed on May 18, 2004. By using a simple mean‐reverting stochastic volatility model for the S&P 500 index, we present a linear relation between the price of fixed t