This study examines historical data on S&P500 and EURO STOXX 50, VIX and VSTOXX, VIX and VSTOXX futures, to reveal linkages between these important series that can be used by equity investors to generate alpha and protect their investments during turbulent times. A comparative portfolio...

The majority of quasi-analytic pricing methods for American options are efficient near-maturity but are prone to larger errors when time-to-maturity increases. A new methodology, called the "extension"-method, is introduced to increase the accuracy of almost any existing quasi-analytic approach...