Bao, Qunfang - Volkswirtschaftliche Fakultät, … - 2013
volatility extensions. Furthermore, most of the literature only focus on static pricing formulas for VIX future and VIX option …, no work has been done in investigating the dynamic feature of VIX future, calibration and hedging strategies of mean …-reverting logarithmic models, as well as the convexity adjustment of VIX future from forward variance swap, which has a liquid variance swap …