Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/309779 
Autor:innen: 
Erscheinungsjahr: 
2022
Quellenangabe: 
[Journal:] Review of Derivatives Research [ISSN:] 1573-7144 [Volume:] 25 [Issue:] 3 [Publisher:] Springer US [Place:] New York, NY [Year:] 2022 [Pages:] 315-339
Verlag: 
Springer US, New York, NY
Zusammenfassung: 
We show that the VIX Index structurally underestimates model-free implied volatility because its implementation omits extrapolation of the volatility smile in the tails. We use the asymptotic behavior of the volatility surface to construct a correction term that is model-independent and only requires option prices at the two outermost strikes. We show how to apply this correction to the VIX Index ex-post as well as how to modify its implementation accordingly. Furthermore, we show that the degree of underestimation varies over time. For the S&P 500 Index and the DJIA Index the error is larger in periods of sustained low volatility. This cannot be observed for the Volatility-of-VIX Index.
Schlagwörter: 
Model-free implied volatility
Volatility smile
VIX index
Variance swaps
JEL: 
G10
G12
G13
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
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Dokumentart: 
Article
Dokumentversion: 
Published Version

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