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Please use this identifier to cite or link to this item: http://ntour.ntou.edu.tw:8080/ir/handle/987654321/52266

Title: Pricing VIX Futures: Evidence from Integrated Physical and Risk-Neutral Probability Measures
Authors: Yueh-Neng Lin
Contributors: 國立臺灣海洋大學:航運管理學系
Date: 2007-12
Issue Date: 2019-06-14T08:43:19Z
Publisher: Journal of Futures Markets
Abstract: Abstract: This study derives closed‐form solutions to the fair value of VIX (volatility index) futures under alternate stochastic variance models with simultaneous jumps both in the asset price and variance processes. Model parameters are estimated using an integrated analysis of integrated volatility and VIX time series from April 21, 2004 to April 18, 2006. The stochastic volatility model with price jumps outperforms for the short‐dated futures, whereas additionally including a state‐dependent volatility jump can further reduce out‐of‐sample pricing errors for other futures maturities. Finally, adding volatility jumps enhances hedging performance except for the short‐dated futures on a daily‐rebalanced basis. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:1175–1217, 2007
Relation: 27(12) pp.1175-1217
URI: http://ntour.ntou.edu.tw:8080/ir/handle/987654321/52266
Appears in Collections:[航運管理學系] 期刊論文

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