TIAN-YI WANG YI WEN SHEN YUE TING JIANG ZHUO HUANG
Abstract
In this article, we propose a closed-form pricing formula for the Chicago Board of Option Exchange Volatility Index (VIX) futures based on the classic discrete-time Heston-Nandi GARCH model. The parameters are estimated through different data sets including S&P 500 returns, VIX, VIX futures, and their combination. We find that the parameters estimated by jointly using VIX and VIX futures can effciently capture the information for both implied VIX and VIX futures prices.
Keywords: Implied VIX, VIX futures, Heston-Nandi GARCH, Risk-neutral measure
JEL classification: C19;C22;C80
http://www.efnchina.com/uploadfile/2015/1214/20151214042201155.pdf
