Zhang, WenJun; Zhang, Jin E. - In: Journal of risk and financial management : JRFM 13 (2020) 3/51, pp. 1-21
-pricing models. In our mLRNVR, the conditional variances under two measures are designed to be different and the variance process is … more persistent in the risk-neutral measure than in the physical one, so that one is able to capture the variance risk … one-month variance swap rate, i.e., the CBOE Volatility Index (VIX) accurately. Our research suggests that one should use …