VIX and CX
バージョン 1.0.1 (136 KB) 作成者:
Martin Magris
Implementation of (CBOE's) VIX and CX (Corridor implied Volatility) indexes from option data
Given options data across several strikes for two maturities, the code implements the VIX and CX indexes.
The implementation follows:
Andersen, Torben G., Oleg Bondarenko, and Maria T. Gonzalez-Perez. "Exploring return dynamics via corridor implied volatility." The Review of Financial Studies 28.10 (2015): 2902-2945.
引用
Martin Magris (2024). VIX and CX (https://www.mathworks.com/matlabcentral/fileexchange/73439-vix-and-cx), MATLAB Central File Exchange. 取得済み .
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