English  |  正體中文  |  简体中文  |  Items with full text/Total items : 28342/40335
Visitors : 4097609      Online Users : 82
RC Version 4.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Adv. Search

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

Files in This Item:

File Description SizeFormat

All items in NTOUR are protected by copyright, with all rights reserved.


著作權政策宣告: 本網站之內容為國立臺灣海洋大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,請合理使用本網站之內容,以尊重著作權人之權益。
網站維護: 海大圖資處 圖書系統組
DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback