Andersen, Torben G.; Bondarenko, Oleg - National Bureau of Economic Research (NBER) - 2007
The notion of model-free implied volatility (MFIV), constituting the basis for the highly publicized VIX volatility index, can be hard to measure with accuracy due to the lack of precise prices for options with strikes in the tails of the return distribution. This is reflected in practice as the...