Inferring information from the SP 500, CBOE VIX, and CBOE SKEW indices

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Title

Inferring information from the SP 500, CBOE VIX, and CBOE SKEW indices

Content partner

University of Otago

Collection

Otago University Research Archive

Description

This paper compares the information extracted from the S&P 500, CBOE VIX, and CBOE SKEW indices for the S&P 500 index option pricing. Based on our empirical analysis, VIX is a very informative index for option prices. Whether adding the SKEW or the VIX term structure can improve the option pricing performance depends on the model we choose. Roughly speaking, the VIX term structure is informative for some models, while the SKEW is very noisy and does not contain much important information for ...

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Format

Research paper

Research format

Scholarly text / Journal article

Thesis level

Article

Date created

2020-06-01

Creator

Cao, Jiling / Ruan, Xinfeng / Zhang, Wenjun

URL

https://hdl.handle.net/10523/17616

Related subjects

Business & Economics / Business, Finance / Social Sciences

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