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arbitrage-free model
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1
VARIANCE
TERM
STRUCTURE
AND VIX FUTURES PRICING
ZHU, YINGZI
;
ZHANG, JIN E.
- In:
International Journal of Theoretical and Applied …
10
(
2007
)
01
,
pp. 111-127
. Based on the
variance
term
structure
, we derive a no arbitrage pricing model for VIX futures pricing. The model is the first …
Persistent link: https://www.econbiz.de/10004971760
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