FUKASAWA, M.; ISHIDA, I.; MAGHREBI, N.; OYA, K.; UBUKATA, M. - In: International Journal of Theoretical and Applied … 14 (2011) 04, pp. 433-463
and the Black-Scholes implied volatility surface, and discuss the merits of this new model-free approach compared to the … CBOE procedure underlying the VIX index. The interpolation scheme for the volatility surface we introduce is designed to be …