Pricing CBOE VIX in non-affine GARCH models with variance risk premium
Year of publication: |
2024
|
---|---|
Authors: | Tong, Chen |
Published in: |
Finance research letters. - New York : Elsevier Science, ISSN 1544-6123, ZDB-ID 2145766-9. - Vol. 62.2024, 1, Art.-No. 105115, p. 1-8
|
Subject: | Generalized LRNVR | Non-affine GARCH | Risk neutralization | Variance risk premium | VIX pricing | Risikoprämie | Risk premium | ARCH-Modell | ARCH model | Volatilität | Volatility | Börsenkurs | Share price | Prognoseverfahren | Forecasting model |
-
VIX forecasting and variance risk premium : a new GARCH approach
Liu, Qiang, (2015)
-
Stock return and cash flow predictability : the role of volatility risk
Bollerslev, Tim, (2015)
-
Slim, Skander, (2020)
- More ...
-
The predictive power of macroeconomic uncertainty for commodity futures volatility
Huang, Zhuo, (2020)
-
Pricing VIX options with realized volatility
Tong, Chen, (2021)
-
Do VIX futures contribute to the valuation of VIX options?
Tong, Chen, (2021)
- More ...