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Please use this identifier to cite or link to this item: http://ntour.ntou.edu.tw:8080/ir/handle/987654321/52259

Title: Using VIX Futures to Hedge Forward Implied Volatility Risk
Authors: Yueh-Neng Lin
Anchor Y. Lin
Contributors: 國立臺灣海洋大學:航運管理學系
Keywords: VIX futures
Forward implied volatility
Forward-start strangles
Stochastic volatility
Price jumps
Date: 2016
Issue Date: 2019-06-14T07:55:26Z
Publisher: International Review of Economics and Finance
Abstract: Abstract: The fair value of VIX futures is derived by pricing the forward 30-day volatility which underlies the volatility risk of S&P 500 in the 30 days after the futures expiration. While forward implied volatility can also be traded with forward-start strangles, this study demonstrates that VIX futures could offer more effective volatility-risk hedge for an investor who has a short position on the S&P 500 futures call option. In particular, the delta-vega-neutral hedging strategy incorporating stochastic volatility on average outperforms in out-of-sample hedging. Adding price jumps further enhances the hedging performance during the crash period.
Relation: 43 pp.88-106
URI: http://ntour.ntou.edu.tw:8080/ir/handle/987654321/52259
Appears in Collections:[航運管理學系] 期刊論文

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