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Pricing the CBOE VIX Futures with the Heston–Nandi GARCH Model |
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| Authors: | Tianyi Wang Yiwen Shen Yueting Jiang Zhuo Huang |
| Institution: | 1. Tianyi Wang is at the Department of Financial Engineering, School of Banking and Finance, University of International Business and Economics, Beijing, China;2. Yiwen Shen is at the Department of Industrial Engineering & Operations Research, Columbia University, New York;3. Yueting Jiang is at the HSBC Business School, Peking University, Shenzhen, China;4. Zhuo Huang is at the National School of Development, Peking University, Beijing, China |
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