Joseph Tanenbaum
  • Member for 10 years, 11 months
  • Last seen more than 1 year ago
Why does the VIX index have *any* correlation to the market?
Accepted answer
15 votes

Increased volatility (high VIX) signifies more risk. To keep their portfolio in line with their risk preferences, market participants deleverage. Since long positions outweigh short positions in the ...

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Extensions of Black-Scholes model
5 votes

The Black-Scholes model assumes that the underlying volatility is constant over the life of the derivative, which is indeed a gross oversimplification. Stochastic Volatility models improve on that ...

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