File Download
There are no files associated with this item.
Links for fulltext
(May Require Subscription)
- Publisher Website: 10.1002/fut.21572
- Scopus: eid_2-s2.0-84866594348
- WOS: WOS:000309066900002
- Find via
Supplementary
- Citations:
- Appears in Collections:
Article: The Term Structure of VIX
Title | The Term Structure of VIX |
---|---|
Authors | |
Issue Date | 2012 |
Publisher | John Wiley & Sons, Inc. The Journal's web site is located at http://www.interscience.wiley.com/jpages/0270-7314/ |
Citation | Journal Of Futures Markets, 2012, v. 32 n. 12, p. 1092-1123 How to Cite? |
Abstract | In this study, we extend the Chicago Board Options Exchange volatility index, VIX, from 30-day to any arbitrary time-to-maturity, and study the term structure of VIX. We propose new concepts of instantaneous and long-term squared VIXs as the limits at the short and long ends of the term structure respectively. Modeling the volatility process with instantaneous and long-term squared VIXs, we establish a parsimonious approach to capture information contained in the term structure of VIX. Our study provides an efficient setup to further study the pricing of VIX derivatives and their relation with S&P 500 options. © 2012 Wiley Periodicals, Inc. |
Persistent Identifier | http://hdl.handle.net/10722/177802 |
ISSN | 2023 Impact Factor: 1.8 2023 SCImago Journal Rankings: 0.672 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Luo, X | en_US |
dc.contributor.author | Zhang, JE | en_US |
dc.date.accessioned | 2012-12-19T09:39:57Z | - |
dc.date.available | 2012-12-19T09:39:57Z | - |
dc.date.issued | 2012 | en_US |
dc.identifier.citation | Journal Of Futures Markets, 2012, v. 32 n. 12, p. 1092-1123 | en_US |
dc.identifier.issn | 0270-7314 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/177802 | - |
dc.description.abstract | In this study, we extend the Chicago Board Options Exchange volatility index, VIX, from 30-day to any arbitrary time-to-maturity, and study the term structure of VIX. We propose new concepts of instantaneous and long-term squared VIXs as the limits at the short and long ends of the term structure respectively. Modeling the volatility process with instantaneous and long-term squared VIXs, we establish a parsimonious approach to capture information contained in the term structure of VIX. Our study provides an efficient setup to further study the pricing of VIX derivatives and their relation with S&P 500 options. © 2012 Wiley Periodicals, Inc. | en_US |
dc.language | eng | en_US |
dc.publisher | John Wiley & Sons, Inc. The Journal's web site is located at http://www.interscience.wiley.com/jpages/0270-7314/ | en_US |
dc.relation.ispartof | Journal of Futures Markets | en_US |
dc.title | The Term Structure of VIX | en_US |
dc.type | Article | en_US |
dc.identifier.email | Zhang, JE: jinzhang@hku.hk | en_US |
dc.identifier.authority | Zhang, JE=rp01125 | en_US |
dc.description.nature | link_to_subscribed_fulltext | en_US |
dc.identifier.doi | 10.1002/fut.21572 | en_US |
dc.identifier.scopus | eid_2-s2.0-84866594348 | en_US |
dc.identifier.hkuros | 212046 | - |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-84866594348&selection=ref&src=s&origin=recordpage | en_US |
dc.identifier.volume | 32 | en_US |
dc.identifier.issue | 12 | en_US |
dc.identifier.spage | 1092 | en_US |
dc.identifier.epage | 1123 | en_US |
dc.identifier.isi | WOS:000309066900002 | - |
dc.publisher.place | United States | en_US |
dc.identifier.scopusauthorid | Luo, X=36451930100 | en_US |
dc.identifier.scopusauthorid | Zhang, JE=7601346659 | en_US |
dc.identifier.issnl | 0270-7314 | - |