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

Haibin Xie; Mo Zhou; Tinghui Ruan

doi:10.3905/jod.2020.1.096

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

Haibin Xie

is an associate professor of finance in the School of Banking and Finance at the University of International Business and Economics in Beijing, China

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Mo Zhou

is an associate professor of economics in the School of Business at the University of International Business and Economics in Beijing, China

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Tinghui Ruan

is a graduate student in the School of Economics and Management at Tsinghua University in Beijing, China

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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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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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