Pricing S&P 500 Variance Futures based on the instantaneous variance of the S&P 500 index with double jump processes
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Authors
Su, Shu
Cao, J.
Ruan, X.
Zhang, W.
Cao, J.
Ruan, X.
Zhang, W.
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Date
2022-12-08
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Conference Contribution - Oral Presentation
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Keyword
stock markets
stock price analysis
stock movement prediction
stock price analysis
stock movement prediction
ANZSRC Field of Research Code (2020)
Citation
Su, S., Cao, J., Ruan, X. & Zhang, W. (2022, December, 8-9). Pricing S&P 500 Variance Futures based on the instantaneous variance of the S&P 500 index with double jump processes [Paper presentation]. Rangahau: Te Mana o te Mahi Kotahitanga: Research: The Power of Collaboration, MIT/Unitec Research Symposium 2022, Te Pūkenga, New Zealand, Auckland, New Zealand. https://hdl.handle.net/10652/6010
Abstract
Introduction:
Background, literature review
Pricing S&P Variance Futures
Data, variance futures valuation, variance risk premium, model calibration and estimation process and results
Conclusion and future work
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