A simple expected volatility (SEV) index: Application to SET50 index options
In 2003, the Chicago Board Options Exchange (CBOE) made two key enhancements to the volatility index (VIX) methodology based on S&P options. The new VIX methodology seems to be based on a complicated formula to calculate expected volatility. In this paper, with the use of Thailand's SET50 I...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
2014
|
| Online Access: | http://www.scopus.com/inward/record.url?eid=2-s2.0-77953324993&partnerID=40&md5=d2c7f5268e44798596cddb9c5f09a422 http://cmuir.cmu.ac.th/handle/6653943832/1218 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Chiang Mai University |
| Language: | English |
Be the first to leave a comment!