Enhanced Model for Valuing S&P 500 and VIX Options
Current pricing models for SP 500 and VIX options are insufficient, but a new model controlling higher-order moments of risk-neutral return distribution outperforms alternatives and reconciles the two markets.
Featured in No. 17 on 28 Sep 2023 ·
- Released
- 9 Jan 2021
- First featured
- No. 17 · 28 Sep 2023
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 155
- Identifier
- SSRN 4584303
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