Zhiyao Chen acknowledges the financial support provided by the Presidential Fellowship from Florida International University. We thank Robert Webb (the editor), an anonymous referee for valuable comments, and Jang-hyung Cho for research assistance.
A simplified pricing model for volatility futures†
Version of Record online: 29 JUN 2010
© 2010 Wiley Periodicals, Inc.
Journal of Futures Markets
Volume 31, Issue 4, pages 307–339, April 2011
How to Cite
Dupoyet, B., Daigler, R. T. and Chen, Z. (2011), A simplified pricing model for volatility futures. J. Fut. Mark., 31: 307–339. doi: 10.1002/fut.20471
- Issue online: 3 FEB 2011
- Version of Record online: 29 JUN 2010
- Manuscript Accepted: MAY 2010
- Manuscript Received: DEC 2009
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