A Tale of Two Indices

By Peter P. Carr, Liuren Wu. 2006

417 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/794f4df5d1cc2395256427f68fe78df21c2696c4

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Citations in the corpus

A jump diffusion model for VIX volatility options and futures (2010, methodology): “Even so, the capitalization of the arbitrage profits is rather difficult since we have to actively trade either a basket of options on SPX or exotic OTC derivatives, such as forward-start ATM forward call options (see Carr and Wu 2006).”
VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING (2007, neutral): “For a full description of VIX index, see [8, 10].”
Robust Replication of Volatility Derivatives (2008, result): “Such a study would parallel the inference conducted on the variance risk premium by Carr-Wu [23, 22].”
Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions (2012, background): “The advantage of the VIX term-structure is that it can be constructed from option prices directly even in the presence of jumps, as shown by Carr and Wu (2006).”
The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes (2016, background): “18 See for instance, Poon and Granger (2003), Whaley (2008), Carr and Wu (2006),”
Variance Risk Premiums (2009, background): “Bollerslev, Gibson, and Zhou (2004) construct a risk aversion index using realized variance estimators and the VIX, which approximates the 30-day variance swap rate on the S&P 500 index (Carr and Wu 2006).”
Variance Dynamics: Joint Evidence from Options and High-Frequency Returns (2011, methodology): “Carr and Wu (2009) show that approximation errors can arise from discrete strikes and discontinuous movements in the S&P 500 index.”
Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options (2017, background): “However, under any continuous model with spot variance V , the left-hand side of equation (1.1) can be written as equation (2.2) (see, for instance, Carr and Wu 2006).”
Quadratic Variance Swap Models (2016, neutral): “, Jiang and Tian (2005), Carr and Wu (2009), Bollerslev, Tauchen, and Zhou (2009), Todorov (2010), Bollerslev and Todorov (2011), Drechsler and Yaron (2011), and Mueller, Vedolin, and Yen (2011).”
CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS (2011, background): “The VIX stands for the CBOE Volatility Index, and it measures the 30-day expected future volatility of the S&P 500 index (Carr and Wu 2006).”
The Effect of Jumps and Discrete Sampling on Volatility and Variance Swaps (2008, background): “Carr and Wu (2006) show that the square of the VIX index is an approximation of the one-month variance swap rate up to discretization error (from using a finite number of options in the VIX definition) under the assumption that the SPX index does not jump.”
The Information Content of Implied Volatilities and Model-Free Volatility Expectations: Evidence from Options Written on Individual Stocks (2010, background): “The definition of the new VIX index and the theory that underpinned both the old and the new are discussed and compared by Carr and Wu (2006).”