Search Results - subject:"VIX futures"

Disaggregating VIX

Degiannakis, Stavros; Kafousaki, Eleftheria - 2025

Persistent link: https://www.econbiz.de/10015197246

The lead-lag relation between VIX futures and SPX futures

Bangsgaard, Christine; Kokholm, Thomas - In: Journal of financial markets 67 (2024), pp. 1-26

Persistent link: https://www.econbiz.de/10014491067

Volatility derivatives

Vatanen, Kari - In: Derivatives Applications in Asset Management : From …, (pp. 87-104). 2025

Persistent link: https://www.econbiz.de/10015434550

Consistent time-homogeneous modeling of SPX and VIX derivatives

Papanicolaou, Andrew - In: Mathematical finance : an international journal of … 32 (2022) 3, pp. 907-940

Persistent link: https://www.econbiz.de/10013331067

Estimation of VIX futures through Gaussian factor models

Fernandes, Felipe do Nascimento; Aiube, Fernando … - In: Revista Brasileira de Finanças : RBFin 20 (2022) 3, pp. 31-49

In this paper we investigate VIX dynamics through a two-factor Gaussian model, following Avellaneda and Papanicolaou (2019). Two strategies were adopted. First, we considered constant market price of risk. Second, we included time-varying market price of risk. In both cases, we estimated the...

Persistent link: https://www.econbiz.de/10014253891

VIX option-implied volatility slope and VIX futures returns

Yoon, Jungah; Ruan, Xinfeng; Zhang, Jin E. - In: The journal of futures markets 42 (2022) 6, pp. 1002-1038

Persistent link: https://www.econbiz.de/10013287910

Pricing VIX futures and options with good and bad volatility of volatility

Guo, Zhiyu; Huang, Zhuo; Tong, Chen - In: The journal of futures markets 44 (2024) 11, pp. 1832-1847

Persistent link: https://www.econbiz.de/10015110736

Pricing VIX futures with mixed frequency macroeconomic information

Yang, Xinglin; Shang, Yuhuang - In: International review of economics & finance : IREF 93 (2024) 1, pp. 847-857

Persistent link: https://www.econbiz.de/10014535418

Trading activity of VIX futures and options around FOMC announcements

Huang, Hong-Gia; Tsai, Wei-Che; Yang, J. Jimmy - In: International review of financial analysis 94 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10014543990

On general semi-closed-form solutions for VIX derivative pricing

Bacon, Étienne; Bégin, Jean-François; Gauthier, … - In: Quantitative finance 24 (2024) 12, pp. 1875-1882

Persistent link: https://www.econbiz.de/10015196978