Guterding, Daniel - In: The Journal of finance and data science : JFDS 7 (2021), pp. 126-142
The VSTOXX index tracks the expected 30-day volatility of the EURO STOXX 50 equity index. Futures on the VSTOXX index … efficient pricing methodology for VSTOXX futures, which assumes a Heston-type stochastic process for the underlying EURO STOXX … have recently been derived. We use the EURO STOXX 50 option implied volatilities and the VSTOXX index value to estimate the …