Pricing VIX futures: Evidence from integrated physical and risk‐neutral probability measures

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Subfields: Finance

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Pricing the CBOE VIX Futures with the Heston–Nandi GARCH Model (2017, methodology): “On the basis of this process and its modifications, Lin (2007) proposed a stochastic volatility model with simultaneous jumps in both returns and volatility to price VIX futures and yielded an approximation 1Proposed by Heston (1993) for option pricing. formula.”
Pricing VIX options with stochastic volatility and random jumps (2011, unknown): “Lin (2007) presented a convexity adjustment approximation for the value of the VIX futures under various stochastic volatility models with simultaneous jumps both in the asset price and variance processes.”
A jump diffusion model for VIX volatility options and futures (2010, background): “Zhu and Zhang (2007) and Lin (2007) start from the specification of instantaneous variance and then derive pricing formulae for VIX futures written on forward VIX.”
Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions (2012, methodology): “Lin (2007), Duan and Yeh (2010) and others link the dynamics of the theoretical value (7) for a VIX index to its observable value, vix∗t (Ti), which is computed directly from vanilla option prices as described below.”