Modeling VXX
研究了近年活跃交易但价值损失99.84%的VXX交易所交易票据，建立了首个连接SPX、VIX和VXX的理论模型，揭示了VIX期货滚动收益驱动VXX与VIX回报差异，并提供了方差风险市场价格的稳健估计。
In this paper, we study the VXX Exchange Traded Note (ETN), that has been actively traded in recent years, but has lost 99.84% of its value. Using Zhang's formula for VIX futures prices, we develop the first theoretical model for the VXX that links the SPX, VIX, and VXX. We show that the roll yield of VIX futures drives the difference between the VXX and VIX returns. The roll yield is a mostly negative process. We then provide a simple yet robust estimation of the market price of variance risk using VXX and VIX futures prices. The model can be used to price VXX options.