Vix Option Pricing and Cboe Vix Term Structure: A New Methodology for Volatility Derivatives Valuation
Lin (2009) studies factor investing in volatility and options using a linear factor model. The abstract mentions excess returns but not a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“Mean-reversion and hump volatility functions with one- to three-factor models are used to examine their pricing for VIX options across strikes and maturities from February 24, 2006 to September 30, 2008.”
AssetVolatility and optionsoptions, futures
StrategyFactor investingshort-term reversal
TechniqueLinear factor modelmathematical derivation
ClaimExcess return
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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