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Pricing CBOE VIX Futures with the Heston-Nandi GARCH Model


 TIAN-YI WANG   YI WEN SHEN   YUE TING JIANG   ZHUO HUANG

                     

Abstract
 In this article, we propose a closed-form pricing formula for the Chicago Board of Option Exchange Volatility Index (VIX) futures based on the classic discrete-time Heston-Nandi GARCH model. The parameters are estimated through different data sets including S&P 500 returns, VIX, VIX futures, and their combination. We find that the parameters estimated by jointly using VIX and VIX futures can effciently capture the information for both implied VIX and VIX futures prices.

Keywords: Implied VIX, VIX futures, Heston-Nandi GARCH, Risk-neutral measure
JEL classification: C19;C22;C80

http://www.cenet.org.cn/uploadfile/2015/1214/20151214042201155.pdf
 

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