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Article: The Term Structure of VIX

TitleThe Term Structure of VIX
Authors
Issue Date2012
PublisherJohn 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?
AbstractIn 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 Identifierhttp://hdl.handle.net/10722/177802
ISSN
2015 Impact Factor: 0.698
2015 SCImago Journal Rankings: 0.520
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorLuo, Xen_US
dc.contributor.authorZhang, JEen_US
dc.date.accessioned2012-12-19T09:39:57Z-
dc.date.available2012-12-19T09:39:57Z-
dc.date.issued2012en_US
dc.identifier.citationJournal Of Futures Markets, 2012, v. 32 n. 12, p. 1092-1123en_US
dc.identifier.issn0270-7314en_US
dc.identifier.urihttp://hdl.handle.net/10722/177802-
dc.description.abstractIn 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.languageengen_US
dc.publisherJohn Wiley & Sons, Inc. The Journal's web site is located at http://www.interscience.wiley.com/jpages/0270-7314/en_US
dc.relation.ispartofJournal of Futures Marketsen_US
dc.titleThe Term Structure of VIXen_US
dc.typeArticleen_US
dc.identifier.emailZhang, JE: jinzhang@hku.hken_US
dc.identifier.authorityZhang, JE=rp01125en_US
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.doi10.1002/fut.21572en_US
dc.identifier.scopuseid_2-s2.0-84866594348en_US
dc.identifier.hkuros212046-
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-84866594348&selection=ref&src=s&origin=recordpageen_US
dc.identifier.volume32en_US
dc.identifier.issue12en_US
dc.identifier.spage1092en_US
dc.identifier.epage1123en_US
dc.identifier.isiWOS:000309066900002-
dc.publisher.placeUnited Statesen_US
dc.identifier.scopusauthoridLuo, X=36451930100en_US
dc.identifier.scopusauthoridZhang, JE=7601346659en_US

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