VIX term structure and VIX futures pricing with realized volatility

Submitted by Hang Yin on

Using an extended LHARG model proposed by Majewski et al. (2015, J Econ, 187, 521–531), we derive the closed‐form pricing formulas for both the Chicago Board Options Exchange VIX term structure and VIX futures with

China
implied volatility
realized volatility
VIX futures
volatility term structure
Peer Reviewed
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