An Analytical Formula for VIX Futures and its Applications

By Song‐Ping Zhu, Guang-Hua Lian. 2012

113 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/4a0498e3ff45ba073988f8932e0f7727dfe446a4

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In Finance

1. Yueting Jiang
2. Zhuo Huang
3. Tianyi Wang
4. Alexander Badran
5. Jan Baldeaux
6. Yiwen Shen
7. Jean-Pierre Fouque 3
8. Yuri F. Saporito

Citations in the corpus

• Pricing the CBOE VIX Futures with the Heston–Nandi GARCH Model (2017, methodology): “By adding jumps to the Heston model, Zhu and Lian (2012) found an analytical pricing formula for VIX futures.”
• Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model (2012, methodology): “In this subsection, we provide a general pricing formula for (European) call and put options on the VIX by extending the results of Zhang and Zhu (2006). The newly found formula is then used for the pricing of VIX derivatives when the index follows a 3/2 plus jumps process.”