A jump diffusion model for VIX volatility options and futures
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Volume (Year): 35 (2010)
Issue (Month): 3 (October)
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- Peter C. B. Phillips, 2005. "Jackknifing Bond Option Prices," Review of Financial Studies, Society for Financial Studies, vol. 18(2), pages 707-742.
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- Peter C.B. Phillips & Jun Yu, 2003. "Jackknifing Bond Option Prices," Cowles Foundation Discussion Papers 1392, Cowles Foundation for Research in Economics, Yale University.
- Yingzi Zhu & Jin E. Zhang, 2007. "Variance Term Structure And Vix Futures Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(01), pages 111-127.
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- Blair, Bevan J. & Poon, Ser-Huang & Taylor, Stephen J., 2001. "Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns," Journal of Econometrics, Elsevier, vol. 105(1), pages 5-26, November.
- 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.
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