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VIX and VIX Futures Pricing Algorithms: Cultivating Understanding

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DOI: 10.4236/me.2012.33038    8,454 Downloads   13,457 Views   Citations

ABSTRACT

This article reviews the development of the S&P 500 volatility index and uses market information to develop algorithms which aid in clarifying some of the salient points in the determination of an index value. Understanding the pertinent points provides insight into the interpretation and limitations of the usefulness of the VIX and other VIX-type contracts.

Conflicts of Interest

The authors declare no conflicts of interest.

Cite this paper

H. D’Anne, "VIX and VIX Futures Pricing Algorithms: Cultivating Understanding," Modern Economy, Vol. 3 No. 3, 2012, pp. 284-294. doi: 10.4236/me.2012.33038.

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