Time-Varying Skew in VIX Derivatives Pricing
Published Online:29 Nov 2021https://doi.org/10.1287/mnsc.2021.4168
- Cited by
- Journal of Banking & Finance, Vol. 188
- 27 April 2025 | Journal of Futures Markets, Vol. 45, No. 7
- 10 March 2025 | Journal of Futures Markets, Vol. 45, No. 6
- 19 March 2025 | Journal of Futures Markets, Vol. 45, No. 6
- 1 January 2025 | SSRN Electronic Journal, Vol. 83
- Frontiers of Mathematical Finance, Vol. 5, No. <![CDATA[0]]>
- 3 December 2024 | Quantitative Finance, Vol. 24, No. 12
- Finance Research Letters, Vol. 69
- European Journal of Operational Research, Vol. 315, No. 1
- 30 December 2023 | The European Journal of Finance, Vol. 67
- 5 June 2023 | Journal of Futures Markets, Vol. 43, No. 9
- Finance Research Letters, Vol. 55
- International Review of Financial Analysis, Vol. 87
- International Review of Financial Analysis, Vol. 86
- 1 January 2023 | SSRN Electronic Journal, Vol. 117
Volume 68, Issue 10
October 2022
Pages 7065-7791, iii-iv
Article Information
Supplemental Material
Metrics
Information
- Received:November 01, 2018
- Accepted:June 11, 2021
- Published Online:November 29, 2021
Copyright © 2021, INFORMS
Cite as
Peixuan Yuan (2021) Time-Varying Skew in VIX Derivatives Pricing. Management Science 68(10):7761-7791.
https://doi.org/10.1287/mnsc.2021.4168
Keywords
The author is grateful to the editor, Kay Giesecke, an anonymous associate editor, and two anonymous reviewers for insightful and detailed comments that substantially improved the paper. The author also thank Azi Ben-Rephael, Ren-raw Chen, Priyank Gandhi, Zhengzi (Sophia) Li, Yangru Wu, Ken Zhong, Danyue Zhao, and seminar participants at Rutgers Business School and Renmin University for helpful conversations and comments. All remaining errors are the author’s own.
