VIX futures
提出了一个随机波动率模型来定价VIX期货，并用市场数据估计参数，发现用近期数据估计能显著降低定价误差。
VIX futures are exchange-traded contracts on a future volatility index (VIX) level derived from a basket of S&P 500 (SPX) stock index options. The authors posit a stochastic variance model of VIX time evolution, and develop an expression for VIX futures. Free parameters are estimated from market data over the past few years. It is found that the model with parameters estimated from the whole period from 1990 to 2005 overprices the futures contracts by 16–44%. But the discrepancy is dramatically reduced to 2–12% if the parameters are estimated from the most recent one-year period. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:521–531, 2006