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Results tagged with vix
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user 55385
The Chicago Board Options Exchange Market Volatility Index, a popular measure of the implied volatility of S&P 500 index options.
1
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VIX future's lower and upper bounds
I think the most intuitive way to understand them, are by considering the VIX future and forward starting volatility swap as derivatives on variance swaps. … Under some technical assumptions, as outlined in the paper you linked, the VIX future $F_t^T$ with maturity $T$ is a forward price on $\sqrt{K_T^\tau}$, and hence its value is given by
\begin{align}
F_t …
- 373
1
vote
Accepted
Pricing VIX derivatives using Monte Carlo
If we disregard interest rates, $S_t$ is a Martingale under $\mathbb{Q}$. So by Jensen's inequality, the expectation has an upper bound of 0.
- 373