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Article
VIX and VIX Futures Pricing Algorithms: Cultivating Understanding
Modern Economy (2012)
  • G. D. Hancock, University of Missouri-St. Louis
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.
Publication Date
Spring 2012
DOI
10.4236/me.2012.33038
Citation Information
G. D. Hancock. "VIX and VIX Futures Pricing Algorithms: Cultivating Understanding" Modern Economy Vol. 3 (2012) p. 284 - 294
Available at: http://works.bepress.com/gwendolyn-weise/12/