Journal of Futures Markets: Volume 37, Number 2, February 2017

• Published date: 01 February 2017
• Date: 01 February 2017
• DOI: http://doi.org/10.1002/fut.21809

Volume 37 Number 2 February 2017

FUTURES MARKETS

CONTENTSCONTENTS

T H E J O U R N A L O F

Volume 37, Number 2 was mailed the week of January 9, 2017

Option Pricing with Threshold Mean Reversion Option Pricing with Threshold Mean Reversion

107107

ZEYU CHI, FANGYUAN DONG, ZEYU CHI, FANGYUAN DONG, andand HOI YING WONG HOI YING WONG

Cross-Hedging Ambiguous Exchange Rate Risk Cross-Hedging Ambiguous Exchange Rate Risk

132132

KIT PONG WONGKIT PONG WONG

Differences in the Prices of Vulnerable Options with Differences in the Prices of Vulnerable Options with

Different Counterparties Different Counterparties

148148

XINGCHUN WANGXINGCHUN WANG

VIX Exchange Traded Products: Price Discovery, Hedging, VIX Exchange Traded Products: Price Discovery, Hedging,

and Trading Strategy and Trading Strategy

164164

CHRISTOFFER BORDONADO, PETER MOLNÁR, CHRISTOFFER BORDONADO, PETER MOLNÁR, andand SVEN R. SAMDAL SVEN R. SAMDAL

Trading the VIX Futures Roll and Volatility Premiums Trading the VIX Futures Roll and Volatility Premiums

with VIX Options with VIX Options

184184

DAVID P. SIMONDAVID P. SIMON

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