TITLE:
VIX and VIX Futures Pricing Algorithms: Cultivating Understanding
AUTHORS:
Hancock G. D’Anne
KEYWORDS:
VIX Pricing; VIX Futures; VIX Options; Volatility Index
JOURNAL NAME:
Modern Economy,
Vol.3 No.3,
May
22,
2012
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.