A Term Structure Model for VIX Futures

Huskaj, Bujar; Nossman, Marcus

doi:10.1002/fut.21550

Cited by 27 publications

(12 citation statements)

References 42 publications

(67 reference statements)

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“…Our paper is also related to the vast literature on volatility derivative pricing. Many papers have studied different model settings for pricing VIX futures (Dupoyet, Daigler, & Chen, 2011; Huskaj & Nossman, 2013; Lu & Zhu, 2010; Zhang, Shu, & Brenner, 2010; Zhang & Zhu, 2006; Zhu & Lian, 2012). Lin (2007) derives and studies the pricing performance of closed form VIX futures pricing formulas under several different affine dynamics.…”

Section: Introductionmentioning

confidence: 99%

Modeling VXX under jump diffusion with stochastic long‐term mean

Gehricke

Zhang

2020

Journal of Futures Markets

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We develop a model for the VXX, the most actively traded VIX futures exchange‐traded note, using Duffie, Pan, and Singleton's affine jump diffusion framework, where the volatility process has jumps and a stochastic long‐term mean. We calibrate the model parameters using the VIX term structure data and show that our model provides the theoretical link between the VIX, VIX futures, and the VXX. Our model can be used for pricing VIX futures, the VXX and other short‐term VIX futures exchange‐traded products (ETPs). Our model could be extended to price options on the VXX and other short‐term VIX futures ETPs.

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Section: Introductionmentioning

confidence: 99%

Modeling VXX under jump diffusion with stochastic long‐term mean

Gehricke

Zhang

2020

Journal of Futures Markets

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“…Ever since, modelling the logarithm of VIX or VIX futures is considered in Psychoyios et al (2010) and Huskaj and Nossman (2013). Mencia and Sentana (2013) and Kaeck and Alexander (2013) compare and examine different model specification for VIX dynamics.…”

Section: Model Specificationmentioning

confidence: 99%

Double-Jump Stochastic Volatility Model for VIX: Evidence from VVIX

Zang

Huang

et al. 2015

SSRN Journal

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The paper studies the continuous-time dynamics of VIX with stochastic volatility and jumps in VIX and volatility. Built on the general parametric affine model with stochastic volatility and jump in logarithm of VIX, we derive a linear relation between the stochastic volatility factor and VVIX index. We detect the existence of co-jump of VIX and VVIX and put forward a double-jump stochastic volatility model for VIX through its joint property with VVIX. With VVIX index as a proxy for the stochastic volatility, we use MCMC method to estimate the dynamics of VIX. Comparing nested models on VIX, we show the jump in VIX and the volatility factor is statistically significant. The jump intensity is also statedependent. We analyze the impact of jump factor on the VIX dynamics.

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“…In the smile paper series, Bergomi (2004Bergomi ( , 2005Bergomi ( , 2008Bergomi ( , 2009 develops a framework which builds upon the joint dynamics of the underlying spot and its implied forward variance swap curve. In the same spirit are the contributions of Buehler (2006) and Cont and Kokholm (2013), while Huskaj and Nossman (2013) and Badran and Goldys (2015) directly specify the term structure of VIX futures. Madan and Yor (2011) model the log-SPX as a Sato process running at a speed governed by the VIX level and Carr and Madan (2014) model the joint density of the VIX, the SPX and the realized variance at a fixed maturity.…”

Section: Introductionmentioning

confidence: 99%