Work

VIX term structure and VIX futures pricing with realized volatility

Year: 2018

Type: article

Source: Journal of Futures Markets

DOI: 10.1002/fut.21955

Authors: Zhuo Huang, Chen Tong, Tianyi Wang

Institutions: Peking University, University of International Business and Economics

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funder: National Natural Science Foundation of China

Awards: 基于高频金融数据的期权定价新模型：理论和实证研究, 基于高频数据信息的波动率衍生品定价研究

OpenAlex ID: W2883168401

FWCI: 7.268

Cites: 32

Cited by: 44

Related to: 10