An analytical formula for VIX futures and its applications
| aut.researcher | Lian, Guanghua | |
| dc.contributor.author | Lian, G | |
| dc.contributor.author | Zhu, SP | |
| dc.date.accessioned | 2011-08-12T00:36:42Z | |
| dc.date.available | 2011-08-12T00:36:42Z | |
| dc.date.copyright | 2011-02-08 | |
| dc.date.issued | 2011-02-08 | |
| dc.description.abstract | 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 sometimes lead to large errors. Utilizing the newly derived formula, we also conduct an empirical study, the results of which demonstrate that the Heston stochastic volatility model is a good candidate for the pricing of VIX futures. While incorporating jumps into the underlying price can further improve the pricing of VIX futures, adding jumps to the volatility process appears to contribute little improvement for pricing VIX futures. | |
| dc.identifier.citation | The Journal of Futures Markets, vol.00(00), pp.1–25 | |
| dc.identifier.doi | 10.1002/fut.20512 | |
| dc.identifier.issn | 0270-7314 (print) 1096-9934 (online) | |
| dc.identifier.uri | https://hdl.handle.net/10292/1690 | |
| dc.publisher | Wiley Periodicals, Inc. | |
| dc.relation.isreplacedby | 10292/3449 | |
| dc.relation.isreplacedby | http://hdl.handle.net/10292/3449 | |
| dc.relation.uri | http://onlinelibrary.wiley.com/doi/10.1002/fut.20512/abstract | |
| dc.rights | © 2011 Wiley Periodicals, Inc. John Wiley & Sons. All rights reserved. Authors retain the right to place his/her pre-publication version of the work on a personal website or institutional repository. This article may not exactly replicate the final version published in (please see citation) as it is not a copy of this record. An electronic version of this article can be found online at: (Please see Publisher’s Version) | |
| dc.rights.accessrights | OpenAccess | |
| dc.title | An analytical formula for VIX futures and its applications | |
| dc.type | Journal Article | |
| pubs.organisational-data | /AUT | |
| pubs.organisational-data | /AUT/Design & Creative Technologies | |
| pubs.organisational-data | /AUT/PBRF Researchers | |
| pubs.organisational-data | /AUT/PBRF Researchers/Design & Creative Technologies PBRF Researchers | |
| pubs.organisational-data | /AUT/PBRF Researchers/Design & Creative Technologies PBRF Researchers/DCT C & M Computing |