Lin, Yueh-Neng - In: Journal of Banking & Finance 37 (2013) 11, pp. 4432-4446
This study integrates CBOE VIX Term Structure and VIX futures to simplify VIX option pricing in multifactor models. Exponential and hump volatility functions with one- to three-factor models of the VIX evolution are used to examine their pricing for VIX options across strikes and maturities. The...