The Chicago Board of Options Exchange's Market Volatility Index (VIX) is called the" investor
fear gauge." To understand why, it is necessary to understand the index's construction. To …

ROBERT E. WHALEY inancial news services have begun reporting the VIX with increasing
regularity. This “new” barometer of investor fear—the Chicago Board Options Exchange (…

Derman and Kani (1994), Dupire (1994), and Rubinstein (1994) hypothesize that asset
return volatility is a deterministic function of asset price and time, and develop a deterministic …

The procedure for opening stocks on the NYSE appears to affect price volatility. An analytical
framework for assessing the magnitude of the structurally induced volatility is presented. …

This paper provides simple, analytic approximations for pricing exchange‐traded American
call and put options written on commodities and commodity futures contracts. These …

In rational, efficiently functioning markets, the returns on stock index and stock index futures
contracts should be perfectly, contemporaneously correlated. This study investigates the …

This paper examines the relation between net buying pressure and the shape of the implied
volatility function (IVF) for index and individual stock options. We find that changes in …

This paper examines the pricing performance of the valuation equation for American call
options on stocks with known dividends and compares it with two suggested approximation …

Recent empirical work by Banz (1981) and Reinganum (1981) documents abnormally large
risk-adjusted returns for small firms listed on the NYSE and the AMEX. The strength and …

The CBOE Market Volatility Index (VIX) is an average of S&P 100 option (OEX) implied
volatilities. As such, it represents a marketconsensus estimate of future stock market volatility. The …