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Pricing VIX futures: Evidence from integrated physical and risk‐neutral probability measures

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Cited by:

  1. Thomas Kokholm & Martin Stisen, 2015. "Joint pricing of VIX and SPX options with stochastic volatility and jump models," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 16(1), pages 27-48, January.
  2. Yoo, Eun Gyu & Yoon, Sun-Joong, 2020. "CBOE VIX and Jump-GARCH option pricing models," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 839-859.
  3. Jędrzej Białkowski & Huong Dieu Dang & Xiaopeng Wei, 2017. "Does the Tail Wag the Dog? Evidence from Fund Flow to VIX ETFs and ETNs," Working Papers in Economics 17/17, University of Canterbury, Department of Economics and Finance.
  4. Gongyue Jiang & Gaoxiu Qiao & Lu Wang & Feng Ma, 2024. "Hybrid forecasting of crude oil volatility index: The cross‐market effects of stock market jumps," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 2378-2398, September.
  5. Bujar Huskaj & Marcus Nossman, 2013. "A Term Structure Model for VIX Futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(5), pages 421-442, May.
  6. Liu, Qiang & Guo, Shuxin & Qiao, Gaoxiu, 2015. "VIX forecasting and variance risk premium: A new GARCH approach," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 314-322.
  7. Sebastian A. Gehricke & Jin E. Zhang, 2020. "Modeling VXX under jump diffusion with stochastic long‐term mean," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(10), pages 1508-1534, October.
  8. Song-Ping Zhu & Guang-Hua Lian, 2018. "On the Convexity Correction Approximation in Pricing Volatility Swaps and VIX Futures," New Mathematics and Natural Computation (NMNC), World Scientific Publishing Co. Pte. Ltd., vol. 14(03), pages 383-401, November.
  9. H. Kent Baker & Satish Kumar & Nitesh Pandey, 2021. "Forty years of the Journal of Futures Markets: A bibliometric overview," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(7), pages 1027-1054, July.
  10. Xinglin Yang & Peng Wang, 2018. "VIX futures pricing with conditional skewness," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(9), pages 1126-1151, September.
  11. Wang, Qi & Wang, Zerong, 2020. "VIX valuation and its futures pricing through a generalized affine realized volatility model with hidden components and jump," Journal of Banking & Finance, Elsevier, vol. 116(C).
  12. Thomas Kokholm & Martin Stisen, 2015. "Joint pricing of VIX and SPX options with stochastic volatility and jump models," Journal of Risk Finance, Emerald Group Publishing, vol. 16(1), pages 27-48, January.
  13. Qi Wang & Zerong Wang, 2021. "VIX futures and its closed‐form pricing through an affine GARCH model with realized variance," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(1), pages 135-156, January.
  14. Eraker, Bjørn & Wang, Jiakou, 2015. "A non-linear dynamic model of the variance risk premium," Journal of Econometrics, Elsevier, vol. 187(2), pages 547-556.
  15. Bégin, Jean-François, 2020. "Levelling the playing field: A VIX-linked structure for funded pension schemes," Insurance: Mathematics and Economics, Elsevier, vol. 94(C), pages 58-78.
  16. Gonzalez-Perez, Maria T., 2015. "Model-free volatility indexes in the financial literature: A review," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 141-159.
  17. Chen Tong & Zhuo Huang, 2021. "Pricing VIX options with realized volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1180-1200, August.
  18. Zhuo Huang & Chen Tong & Tianyi Wang, 2019. "VIX term structure and VIX futures pricing with realized volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(1), pages 72-93, January.
  19. Matt Davison & Marcos Escobar-Anel & Yichen Zhu, 2024. "Optimal Market Completion through Financial Derivatives with Applications to Volatility Risk," JRFM, MDPI, vol. 17(10), pages 1-20, October.
  20. Daniel Guterding, 2020. "Inventory effects on the price dynamics of VSTOXX futures quantified via machine learning," Papers 2002.08207, arXiv.org.
  21. Sebastian A. Gehricke & Jin E. Zhang, 2018. "Modeling VXX," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(8), pages 958-976, August.
  22. Michael A. Kouritzin & Anne MacKay, 2017. "VIX-linked fees for GMWBs via Explicit Solution Simulation Methods," Papers 1708.06886, arXiv.org, revised Apr 2018.
  23. Chen, Xiaoyi & Feng, JianFen & Wang, Tianyi, 2023. "Pricing VIX futures: A framework with random level shifts," Finance Research Letters, Elsevier, vol. 52(C).
  24. Pacati, Claudio & Pompa, Gabriele & Renò, Roberto, 2018. "Smiling twice: The Heston++ model," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 185-206.
  25. Konstantinidi, Eirini & Skiadopoulos, George, 2011. "Are VIX futures prices predictable? An empirical investigation," International Journal of Forecasting, Elsevier, vol. 27(2), pages 543-560.
  26. Kouritzin, Michael A. & MacKay, Anne, 2018. "VIX-linked fees for GMWBs via explicit solution simulation methods," Insurance: Mathematics and Economics, Elsevier, vol. 81(C), pages 1-17.
  27. Eraker, Bjørn & Wu, Yue, 2017. "Explaining the negative returns to volatility claims: An equilibrium approach," Journal of Financial Economics, Elsevier, vol. 125(1), pages 72-98.
  28. Gongyue Jiang & Gaoxiu Qiao & Feng Ma & Lu Wang, 2022. "Directly pricing VIX futures with observable dynamic jumps based on high‐frequency VIX," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1518-1548, August.
  29. Jing, Bo & Li, Shenghong & Ma, Yong, 2021. "Consistent pricing of VIX options with the Hawkes jump-diffusion model," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
  30. Lin, Yueh-Neng & Chang, Chien-Hung, 2010. "Consistent modeling of S&P 500 and VIX derivatives," Journal of Economic Dynamics and Control, Elsevier, vol. 34(11), pages 2302-2319, November.
  31. Qiao, Gaoxiu & Yang, Jiyu & Li, Weiping, 2020. "VIX forecasting based on GARCH-type model with observable dynamic jumps: A new perspective," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
  32. Zhiguang Wang & Brice Dupoyet, 2019. "A dimension‐invariant cascade model for VIX futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(10), pages 1214-1227, October.
  33. Qiao, Gaoxiu & Jiang, Gongyue & Yang, Jiyu, 2022. "VIX term structure forecasting: New evidence based on the realized semi-variances," International Review of Financial Analysis, Elsevier, vol. 82(C).
  34. Lin, Yueh-Neng & Lin, Anchor Y., 2016. "Using VIX futures to hedge forward implied volatility risk," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 88-106.
  35. Jiling Cao & Xinfeng Ruan & Shu Su & Wenjun Zhang, 2020. "Pricing VIX derivatives with infinite‐activity jumps," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(3), pages 329-354, March.
  36. Changfu Ma & Wei Xu & Yue Kuen Kwok, 2020. "Willow tree algorithms for pricing VIX derivatives under stochastic volatility models," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 7(01), pages 1-28, March.
  37. Fangsheng Yin & Yang Bian & Tianyi Wang, 2021. "A short cut: Directly pricing VIX futures with discrete‐time long memory model and asymmetric jumps," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(4), pages 458-477, April.
  38. Anatoliy Swishchuk & Zijia Wang, 2017. "Variance and Volatility Swaps and Futures Pricing for Stochastic Volatility Models," Papers 1712.02735, arXiv.org.
  39. Jiling Cao & Xinfeng Ruan & Wenjun Zhang, 2020. "Inferring information from the S&P 500, CBOE VIX, and CBOE SKEW indices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(6), pages 945-973, June.
  40. Xinglin Yang, 2023. "Unspanned macro risks in VIX futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(9), pages 1305-1328, September.
  41. Xingguo Luo & Jin E. Zhang & Wenjun Zhang, 2019. "Instantaneous squared VIX and VIX derivatives," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(10), pages 1193-1213, October.
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