A simplified pricing model for volatility futures Article

Dupoyet, B, Daigler, RT, Chen, Z. (2011). A simplified pricing model for volatility futures . JOURNAL OF FUTURES MARKETS, 31(4), 307-339. 10.1002/fut.20471

cited authors

  • Dupoyet, B; Daigler, RT; Chen, Z



  • We develop a general model to price VIX futures contracts. The model is adapted to test both the constant elasticity of variance (CEV) and the Cox-Ingersoll-Ross formulations, with and without jumps. Empirical tests on VIX futures prices provide out-of-sample estimates within 2% of the actual futures price for almost all futures maturities. We show that although jumps are present in the data, the models with jumps do not typically outperform the others; in particular, we demonstrate the important benefits of the CEV feature in pricing futures contracts. We conclude by examining errors in the model relative to the VIX characteristics. © 2010 Wiley Periodicals, Inc.

publication date

  • April 1, 2011

published in

Digital Object Identifier (DOI)

start page

  • 307

end page

  • 339


  • 31


  • 4