Hsu, Stephen D.H.; Murray, Brian M. - In: Physica A: Statistical Mechanics and its Applications 380 (2007) C, pp. 366-376
The Chicago Board Options Exchange (CBOE) Volatility Index, VIX, is calculated based on prices of out-of-the-money put and call options on the S&P 500 index (SPX). Sometimes called the “investor fear gauge”, the VIX is a measure of the implied volatility of the SPX, and is observed to be...