The CBOE S&P 500 three-month variance fu
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Jin E. Zhang; Yuqin Huang
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Article
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2010
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John Wiley and Sons
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English
β 722 KB
## Abstract In this article, we study the market of the Chicago Board Options Exchange S&P 500 threeβmonth variance futures that were listed on May 18, 2004. By using a simple meanβreverting stochastic volatility model for the S&P 500 index, we present a linear relation between the price of fixed t