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...
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| Main Authors: | , |
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| Format: | Journal |
| Published: |
2018
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| Subjects: | |
| Online Access: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=77953324993&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/50727 |
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| Institution: | Chiang Mai University |