Asset Details
- Identifier:
- fut22157-fig-0001
- Description:
- VIX call option prices as a function of uR for VIX0=15,Δ=1 (daily observations), risk free rate r=2% per year and DTM = 90 computed according to (24). The risk‐neutral GARCH parameters are specified in Table 1. (a) HN‐GARCH VIX call model; (b) IG‐GARCH VIX call model. HN‐GARCH, Heston–Nandi GARCH; IG‐GARCH, inverse Gaussian GARCH; VIX, volatility index [Color figure can be viewed at wileyonlinelibrary.com]
- License:
- Rights Managed
- Rights Holder:
- John Wiley & Sons, Inc.
- License Rights Holder:
- © 2020 Wiley Periodicals LLC
- Asset Type:
- Image
- Asset Subtype:
- Chart/Graph
- Image Orientation:
- Landscape
- Image Dimensions:
- 1335 x 540
- Image File Size:
- 101 KB
- Creator:
- Hongkai Cao, Alexandru Badescu, Zhenyu Cui, Sarath Kumar Jayaraman
- Credit:
- Cao, H., Badescu, A., Cui, Z., & Jayaraman, S. (2020). Valuation of VIX and target volatility options with affine GARCH models. Journal of Futures Markets, 40(12), 1880-1917. https://doi.org/10.1002/fut.22157.
- Collection:
- Keywords:
- Restrictions:
- Property Release:
- No
- Model Release:
- No
- Purchasable:
- Yes
- Sensitive Materials:
- No
- Article Authors:
- Hongkai Cao, Alexandru Badescu, Zhenyu Cui, Sarath Kumar Jayaraman
- Article Copyright Year:
- 2020
- Publication Title:
- Journal of Futures Markets
- Publication Volume:
- 40
- Publication Issue:
- 12
- Publication Date:
- 12/01/2020
- DOI:
- https://doi.org/10.1002/fut.22157
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