We analyze the joint cross-section of monthly S&P500 stock index options and monthly CBOE Volatility Index options by … stochastic volatility model and Distributionally Robust Optimization. Significant pricing errors appear if the Stochastic …-of-the-money volatility index puts appears particularly appealing to pure market risk averters. The evidence against option market efficiency …

from the Chicago board options exchange, CBOE, derivative market. We show the existence of the implied volatility smile of … the S&P stock index options by comparing historical in relation to implied volatility. There is significant time variation … in the implied volatility smile and the traditional Black – Scholes model can not explain this deviation. A possible …

This article tests whether a correlation exists between a stochastic synthetic volatility index (SVIX) and the Chicago … Board Options Exchange (CBOE) volatility index (VIX) and assesses the success of the indicators’ application by pairing an …. The SVIX allows traders to graph volatility as a 100% scale on securities that do not have an official CBOE VIX ticker …