Extracting model-free volatility from option prices: An examination of the VIX index

Journal of Derivatives

Volumn 14, Issue 3, 2007, Pages 35-60

  Jiang, George J ^a   Tian, Yisong S ^b  

^a UNIVERSITY OF ARIZONA   (United States)

^b YORK UNIVERSITY   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 85014084763     PISSN: 10741240     EISSN: None     Source Type: Journal    
DOI: 10.3905/jod.2007.681813     Document Type: Article

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