Cheng, Jun; Ibraimi, Meriton; Leippold, Markus; Zhang, … - 2011
Lin and Chang (2009, 2010) establish a VIX futures and option pricing theory when modeling S&P 500 index by using a stochastic volatility process with asset return and volatility jumps. In this note, we prove that Lin and Chang's formula is not an exact solution of their pricing equation. More...