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
Mo Zhou
is an associate professor of economics in the School of Business at the University of International Business and Economics in Beijing, China
Tinghui Ruan
is a graduate student in the School of Economics and Management at Tsinghua University in Beijing, China
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In this issue
The Journal of Derivatives
Vol. 27, Issue 4
Summer 2020
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