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The performance of VIX option pricing models : empirical evidence beyond simulation

Wang, Zhiguang; Daigler, Robert T. - In: The journal of futures markets 31 (2011) 3, pp. 251-281

Persistent link: https://www.econbiz.de/10008908399

Seasonality and stochastic volatility in wheat options

Osei, Michael; Wang, Zhiguang - In: The journal of economics 41 (2015) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10011437374

Risk-adjusted implied volatility and its performance in forecasting realized volatility in corn futures prices

Wu, Feng; Myers, Robert J.; Guan, Zhengfei; Wang, Zhiguang - In: Journal of empirical finance 34 (2015), pp. 260-274

Persistent link: https://www.econbiz.de/10011557143

Multistep forecast of the implied volatility surface using deep learning

Medvedev, Nikita; Wang, Zhiguang - In: The journal of futures markets 42 (2022) 4, pp. 645-667

Persistent link: https://www.econbiz.de/10013187579

The Performance of Vix Option Pricing Models : Empirical Evidence Beyond Simulation

Wang, Zhiguang - 2011

We examine the pricing performance of VIX option models. Such models possess a wide-range of underlying characteristics regarding the behavior of both the S&P500 index and the underlying VIX. Our tests employ three representative models for VIX options: Whaley (1993), Grunbichler and Longstaff...

Persistent link: https://www.econbiz.de/10013122687