Madan, Dilip B.; Wang, King - 2020
The problem studied is the pricing of options on the CBOE Skew index. The option pricing theory developed seeks to … this hedge. The theory is applied to pricing VIX options using the market for SPY options and pricing options on JPM using … the market for XLF options. The approach is then applied to illustrate the pricing of CBOE Skew Index options using the …