Jump, Diffusion, and Long-Term Volatility Risks with Incremental Information in VIX Assets

Sonnan Chen and Yuchi Gu
The Journal of Derivatives Spring 2021, 28 (3) 60-96; DOI: https://doi.org/10.3905/jod.2020.1.124

Article Information

vol. 28 no. 3 60-96
DOI 
https://doi.org/10.3905/jod.2020.1.124
Published By 
Pageant Media Ltd
Print ISSN 
1074-1240
Online ISSN 
2168-8524
History 
  • Published online March 1, 2021.

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© 2021 Pageant Media Ltd

Author Information

  1. Sonnan Chen
    1. is a finance professor at the Shanghai Advanced Institution of Finance, Shanghai Jiao Tong University in Shanghai, China. (snchen{at}saif.sjtu.edu.cn)
  2. Yuchi Gu
    1. is a PhD student at the Shanghai Advanced Institution of Finance, Shanghai Jiao Tong University in Shanghai, China. (ycgu.13{at}saif.sjtu.edu.cn)
  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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Jump, Diffusion, and Long-Term Volatility Risks with Incremental Information in VIX Assets
Sonnan Chen, Yuchi Gu
The Journal of Derivatives Feb 2021, 28 (3) 60-96; DOI: 10.3905/jod.2020.1.124
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