Zhang, Jin E.; Huang, Yuqin - In: Journal of Futures Markets 30 (2010) 1, pp. 48-70
In this article, we study the market of the Chicago Board Options Exchange S&P 500 three‐month variance futures that were listed on May 18, 2004. By using a simple mean‐reverting stochastic volatility model for the S&P 500 index, we present a linear relation between the price of fixed...