Theoretical Relationship between Integrated Volatility and VIX
碩士 === 國立中興大學 === 財務金融系所 === 94 === VIX futures was launched by CBOE on 26 March 2006. Since its underlying VIX (volatility index), or equivalently the model-free implied volatility of S&P 500 index options, is not tradable, it is impossible to use the no-arbitrage relationship to derive the fai...
| Main Authors: | , |
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| Format: | Others |
| Language: | en_US |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/91106856840093553473 |