Andersen, Torben G.; Bondarenko, Oleg; Gonzalez-Perez, … - School of Economics and Management, University of Aarhus - 2011
The VIX index is computed as a weighted average of SPX option prices over a range of strikes according to specific rules regarding market liquidity. It is explicitly designed to provide a model-free option-implied volatility measure. Using tick-by-tick observations on the underlying options, we...