VIX and VIX Futures Pricing Algorithms: Cultivating Understanding

G. D. Hancock; Gwendolyn Weise

doi:10.4236/me.2012.33038

VIX and VIX Futures Pricing Algorithms: Cultivating Understanding

G. D. Hancock, Gwendolyn Weise

University of Missouri-St. Louis

Research output: Contribution to journal › Article › peer-review

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.

Original language	American English
Journal	Modern Economy
Volume	3
DOIs	https://doi.org/10.4236/me.2012.33038
State	Published - 2012

Disciplines

Business Administration, Management, and Operations

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Cite this

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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.",

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