Valuing futures and options on volatility
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Banking & Finance.
Volume (Year): 20 (1996)
Issue (Month): 6 (July)
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Web page: http://www.elsevier.com/locate/jbf
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- Cox, John C. & Ingersoll, Jonathan Jr. & Ross, Stephen A., 1981. "The relation between forward prices and futures prices," Journal of Financial Economics, Elsevier, vol. 9(4), pages 321-346, December.
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- Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
- Longstaff, Francis A., 1990. "The valuation of options on yields," Journal of Financial Economics, Elsevier, vol. 26(1), pages 97-121, July.
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- French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
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- Hemler, Michael L. & Longstaff, Francis A., 1991. "General Equilibrium Stock Index Futures Prices: Theory and Empirical Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(03), pages 287-308, September.
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- Bao, Qunfang & Li, Shenghong & Gong, Donggeng, 2012. "Pricing VXX option with default risk and positive volatility skew," European Journal of Operational Research, Elsevier, vol. 223(1), pages 246-255.
- Christian Walter & Jose Lopez, 1997. "Is implied correlation worth calculating? Evidence from foreign exchange options and historical data," Research Paper 9730, Federal Reserve Bank of New York.
- Brenner, Menachem & Ou, Ernest Y. & Zhang, Jin E., 2006. "Hedging volatility risk," Journal of Banking & Finance, Elsevier, vol. 30(3), pages 811-821, March.
- Dotsis, George & Psychoyios, Dimitris & Skiadopoulos, George, 2007. "An empirical comparison of continuous-time models of implied volatility indices," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3584-3603, December.
- Dimitris Psychoyios & George Dotsis & Raphael Markellos, 2010. "A jump diffusion model for VIX volatility options and futures," Review of Quantitative Finance and Accounting, Springer, vol. 35(3), pages 245-269, October.
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- Steven L. Heston & Saikat Nandi, 2000. "Derivatives on volatility: some simple solutions based on observables," Working Paper 2000-20, Federal Reserve Bank of Atlanta.
- Bao, Qunfang, 2013. "Mean-Reverting Logarithmic Modeling of VIX," MPRA Paper 46413, University Library of Munich, Germany.
- Konstantinidi, Eirini & Skiadopoulos, George, 2011.
"Are VIX futures prices predictable? An empirical investigation,"
International Journal of Forecasting,
Elsevier, vol. 27(2), pages 543-560, April.
- Konstantinidi, Eirini & Skiadopoulos, George, 2011. "Are VIX futures prices predictable? An empirical investigation," International Journal of Forecasting, Elsevier, vol. 27(2), pages 543-560.
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"Valuation Of Vix Derivatives,"
- Gatzert, Nadine & Martin, Michael, 2012. "Quantifying credit and market risk under Solvency II: Standard approach versus internal model," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 649-666.
- Daouk, Hazem & Guo, Jie Qun, 2003. "Switching Asymmetric GARCH and Options on a Volatility Index," Working Papers 127187, Cornell University, Department of Applied Economics and Management.
- Wagner, Niklas & Szimayer, Alexander, 2004. "Local and spillover shocks in implied market volatility: evidence for the U.S. and Germany," Research in International Business and Finance, Elsevier, vol. 18(3), pages 237-251, September.
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