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The CBOE S&P 500 three‐month variance futures
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The CBOE S&P 500 three‐month variance futures (2009)The CBOE S&P 500 three‐month variance fut…Jump and volatility risk premiums implied by VIX (2010)Jump and volatility risk prem…VIX Option Pricing in a Jump-Diffusion Model (2008)VIX Option Pricing in a Jump-…Variance Risk Premiums (2008)Variance Risk PremiumsThe implied volatility smirk (2008)The implied volatility smirkRobust Replication of Volatility Derivatives (2008)Robust Replication of Volatil…Pricing options on realized variance in the Heston model with jumps in returns and volatility (2008)Pricing options on realized v…Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices (2008)Can the evolution of implied …VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING (2007)VARIANCE TERM STRUCTURE AND V…Pricing VIX futures: Evidence from integrated physical and risk‐neutral probability measures (2007)Pricing VIX futures: Evidence…Extracting Model-Free Volatility from Option Prices (2007)Extracting Model-Free Volatil…An empirical comparison of continuous-time models of implied volatility indices (2007)An empirical comparison of co…VIX futures (2006)VIX futuresA Tale of Two Indices (2006)A Tale of Two IndicesTime-changed Lévy processes and option pricing (2003)Time-changed Lévy processes a…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Event study methodologies and the size effect (1986)Event study methodologies and…VIX forecasting and variance risk premium: A new GARCH approach (2015)VIX forecasting and variance …Trading and Investing in Volatility Products (2015)Trading and Investing in Vola…The VIX Futures Basis: Evidence and Trading Strategies (2014)The VIX Futures Basis: Eviden…VIX option pricing and CBOE VIX Term Structure: A new methodology for volatility derivatives valuation (2013)VIX option pricing and CBOE V…Pricing VXX option with default risk and positive volatility skew (2012)Pricing VXX option with defau…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)A brief history of market efficiency (1998)Murphy's Law and Market Anomalies (1999)Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options (2012)Option pricing when underlying stock returns are discontinuous (1976)A Theory of the Term Structure of Interest Rates (1985)The new market for volatility trading (2010)Options on realized variance by transform methods: a non-affine stochastic volatility model (2011)Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework (2014)The Pricing of Options and Corporate Liabilities (1973)The information content of implied volatilities and model-free volatility expectations: Evidence from options written on individual stocks (2009)The Econometrics of Financial Markets (2012)Predictable Dynamics in Higher-Order Risk-Neutral Moments: Evidence from the S&P 500 Options (2013)On financial contagion and implied market volatility (2014)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)The Finite Moment Log Stable Process and Option Pricing (2003)Stochastic volatility with leverage: Fast and efficient likelihood inference (2006)The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well (2009)The Pricing of Options on Assets with Stochastic Volatilities (1987)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)An analytical formula for VIX futures and its applications (2011)Estimating and Using GARCH Models with VIX Data for Option Valuation (2012)What do asset prices have to say about risk appetite and uncertainty? (2015)Theory of Rational Option Pricing (1973)Empirical Performance of Alternative Option Pricing Models (1997)The Cross‐Section of Volatility and Expected Returns (2006)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)On Persistence in Mutual Fund Performance (1997)Tails, Fears, and Risk Premia (2011)The VIX, the variance premium and stock market volatility (2014)Momentum crashes (2016)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments (2010)The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes (2016)Investor sentiment and the price of oil (2017)A Guide to Volatility and Variance Swaps (1999)A CLOSED‐FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY (2008)Resolution of policy uncertainty and sudden declines in volatility (2017)Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets (2018)Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty (2018)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2008Variance Risk Premiums1,328 cited
  • 2003Time-changed Lévy processes and option pricing674 cited
  • 2006A Tale of Two Indices381 cited
  • 1986Event study methodologies and the size effect293 cited
  • 2007Extracting Model-Free Volatility from Option Prices217 cited
  • 2008Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices174 cited
  • 2006VIX futures168 cited
  • 2008Pricing options on realized variance in the Heston model with jumps in returns and volatility149 cited
  • 2010Jump and volatility risk premiums implied by VIX140 cited
  • 2008Robust Replication of Volatility Derivatives135 cited
  • 2007An empirical comparison of continuous-time models of implied volatility indices115 cited
  • 2007Pricing VIX futures: Evidence from integrated physical and risk‐neutral probability measures114 cited
  • 2008The implied volatility smirk101 cited
  • 2008VIX Option Pricing in a Jump-Diffusion Model86 cited
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VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING
73 cited

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  • 2013VIX option pricing and CBOE VIX Term Structure: A new methodology for volatility derivatives valuation30 cited
  • 2012Pricing VXX option with default risk and positive volatility skew27 cited