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?
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$\begingroup$ 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
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