http://papers.ssrn.com/sol3/papers.cfm?abstract_id=871729 On VIX, old (VXO aka OEX option volatility average) and new (VIX aka SPX option price blend), vs volatility swaps and variance swaps.
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http://papers.ssrn.com/sol3/papers.cfm?abstract_id=871729 On VIX, old (VXO aka OEX option volatility average) and new (VIX aka SPX option price blend), vs volatility swaps and variance swaps.
http://www.nuclearphynance.com/User%20Files/347/log%20contract.pdf
http://www.wilmott.com/attachments/neuberger1990.zip