Pricing VIX Futures under the GJR–GARCH Process: An Analytical Approximation Method

Haibin Xie, Mo Zhou and Tinghui Ruan
The Journal of Derivatives Summer 2020, 27 (4) 77-88; DOI: https://doi.org/10.3905/jod.2020.1.096

Article Information

vol. 27 no. 4 77-88
DOI 
https://doi.org/10.3905/jod.2020.1.096
Published By 
Pageant Media Ltd
Print ISSN 
1074-1240
Online ISSN 
2168-8524
History 
  • Published online June 1, 2020.

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© 2020 Pageant Media Ltd

Author Information

  1. Haibin Xie
    1. is an associate professor of finance in the School of Banking and Finance at the University of International Business and Economics in Beijing, China. (hbxie{at}amss.ac.cn)
  2. Mo Zhou
    1. is an associate professor of economics in the School of Business at the University of International Business and Economics in Beijing, China. (weekendxzr{at}gmail.com)
  3. Tinghui Ruan
    1. is a graduate student in the School of Economics and Management at Tsinghua University in Beijing, China. (ruanth1009{at}126.com)
  1. To order reprints of this article, please contact David Rowe at d.rowe{at}pageantmedia.com or 646-891-2157.
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Pricing VIX Futures under the GJR–GARCH Process: An Analytical Approximation Method
Haibin Xie, Mo Zhou, Tinghui Ruan
The Journal of Derivatives May 2020, 27 (4) 77-88; DOI: 10.3905/jod.2020.1.096
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