I have VIX futures trading algorithm and would like to perform Monte-Carlo simulation of VIX and understand how my algorithm performs on each simulation. In this case, not only VIX should be modeled, but also futures prices. How can I model VIX futures price reaction on VIX spikes, especially backwardation?
0
$\begingroup$
$\endgroup$
-
$\begingroup$ I think you should also ask this question at Wilmott forums, there's a very good chance you'll get a good answer on this one there. $\endgroup$ – Yian Pap Jul 15 '18 at 20:46
