Bao, Qunfang - Volkswirtschaftliche Fakultät, … - 2013
. Then I extend this basic MRLR model by adding jump or stochastic volatility into spot VIX dynamics to get MRLRJ and MRLRSV … that VIX future follows geometric Brownian motion under MRLR model, jump-diffusion dynamics under MRLRJ model, stochastic …