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 …

This paper studies benefits of joint estimations for GARCH option pricing that utilize both
stock returns and volatility derivatives. The proposed estimations not only provide realistic …

Considering the asymmetric volatility response to positive and negative shocks, this paper
investigates VIX term structure forecasting by incorporating the realized upside and …

This paper proposes to study VIX forecasting based on discrete time GARCH-type model
with observable dynamic jump intensity by incorporating high frequency information (DJI …

In this paper, we provide several theoretically relevant and empirically significant
improvements to the general affine realized volatility (GARV) model of Christoffersen et …

We investigate the role of realized volatility in pricing VIX options by using the generalized
affine realized volatility (GARV) model, and the Realized generalized autoregressive …

In this paper we propose semiclosed‐form solutions, subject to an inversion of the Fourier
transform, for the price of VIX options and target volatility options under affine GARCH …

Fully explicit closed-form expressions are developed for the fair strike prices of discrete-time
variance swaps under general affine GARCH type models that have been risk-neutralized …

Under the component GARCH model of Christoffersen et al.(2008), this research provides
the analytical pricing formulae of the VIX term structure and VIX futures, points out the zero …

This paper studies the forecasting of volatility index (VIX) and the pricing of its futures by a
generalized affine realized volatility model proposed by Christoffersen et al. This model is a …