Without considering the underlying risk dynamics and jumps, Wu and Zhu (2016) recently proposed an ingenious approach of hedging options statically with an option portfolio. We improve their scheme in three ways. First, we theoretically make the Wu-Zhu approach more accurate by utilizing the...

Conditional on today's price of the underlying, the probability of the m out of n day provision (MooN) being satisfied within a price range in the future can be readily simulated. With these simulated conditional range probabilities (CRP), the challenging problem of pricing MooN can then be...

This paper assesses variance risk premium and forecasts out-of-sample VIX under GARCH(1,1), GJR, and Heston-Nandi models. With the date-t GARCH parameters estimated in a moving window fashion from 3,500 daily returns of the S&P 500 index, a hypothetical date-t VIX turns out to be below the...