Jabłecki, Juliusz; Kokoszczyński, Ryszard; Sakowski, … - Wydział Nauk Ekonomicznych, Uniwersytet Warszawski - 2014
, VIX. Specifically, we document the following features of VIX implied volatility: (i) VIX at-the-money (ATM) implied … volatility correlates strongly with the volatility skew in S&P 500 options; (ii) VIX ATM implied volatility declines … exponentially with options' time to expiry; (iii) a SABR-type model can be used to model the smile observed in VIX options. These …