Pricing VIX options with realized volatility

C Tong, Z Huang - Journal of Futures Markets, 2021 - Wiley Online Library
We investigate the role of realized volatility in pricing VIX options by using the generalized
affine realized volatility (GARV) model, and the Realized generalized autoregressive …

Directly pricing VIX futures with observable dynamic jumps based on high‐frequency VIX

G Jiang, G Qiao, F Ma, L Wang - Journal of Futures Markets, 2022 - Wiley Online Library
This paper proposes to study volatility index (VIX) futures pricing by directly modeling the
logarithmic VIX while incorporating observable dynamic jumps of the VIX, which are derived …

[BOOK][B] Pricing models of volatility products and exotic variance derivatives

YK Kwok, W Zheng - 2022 - taylorfrancis.com
Pricing Models of Volatility Products and Exotic Variance Derivatives summarizes most of
the recent research results in pricing models of derivatives on discrete realized variance and …

Pricing CBOE VIX in non-affine GARCH models with variance risk premium

C Tong - Finance Research Letters, 2024 - Elsevier
The commonly used local risk-neutral valuation relationship (LRNVR) for non-affine GARCH
models only compensates for the equity risk premium. In this paper, we propose a direct …

VIX futures pricing based on high‐frequency VIX: A hybrid approach combining SVR with parametric models

G Qiao, G Jiang - Journal of Futures Markets, 2023 - Wiley Online Library
We propose a novel hybrid approach for volatility index (VIX) futures pricing by combining
support vector regression (SVR) with parametric models. Realized semivariances calculated …

[PDF][PDF] Improvement estimation accuracy of futures for small business effective functional development

TB Ivanova, AA Vardanyan - CEUR Workshop Proceedings, 2021 - ceur-ws.org
Small businesses effectiveness depends mainly on prediction accuracy of the proposed
transactions results. Operations with futures, which let you not only make a profit hedge …

Essays on econometric models of volatility

Y Jiang - 2021 - centaur.reading.ac.uk
This thesis contributes to the literature on volatility forecasting, focusing on the VIX index, the
VIX futures and the VVIX. It consists of three main chapters. The first contribution is the …

[HTML][HTML] 基于 GJR-GARCH 模型的沪深 300 指数期权定价研究

李鑫亚 - Operations Research and Fuzziology, 2024 - hanspub.org
本研究旨在深入了解中国股票指数期权市场的运行状况, 基于GJR-GARCH 模型, 以沪深300
指数期权为研究对象, 探讨其定价特征及对市场波动的敏感性. 通过对2022 年3 月至2023 年12 …