P*****s
发帖数: 166 | 1 I have a question regarding CBOE VIX defition/calculation.
My understanding is VIX is something close to sqt of variance swap strike on
30 day SPX index.A variance swap, specifically a log contract is replicated
with portfolio of infinite number of weighted OTM options of such maturity
and position in forward contract.The first part of the calculation formular
in CBOE VIX white paper is an approximation of the OTM option portfolio.But
how should I understand second half (F/K_0-1)^2/T? Why it's not (F/K_0-1)*2/
T
Thanks | n******m
发帖数: 169 | 2 integral is from 0 to F and F to inf, sum is from 0 to K, and K to inf,
so from K to F, you used put instead of call (or the opposite, don't
remember detail), the difference is int(K,F){call-put}, which is the the
extra term.
on
replicated
maturity
formular
But
2/
【在 P*****s 的大作中提到】
: I have a question regarding CBOE VIX defition/calculation.
: My understanding is VIX is something close to sqt of variance swap strike on
: 30 day SPX index.A variance swap, specifically a log contract is replicated
: with portfolio of infinite number of weighted OTM options of such maturity
: and position in forward contract.The first part of the calculation formular
: in CBOE VIX white paper is an approximation of the OTM option portfolio.But
: how should I understand second half (F/K_0-1)^2/T? Why it's not (F/K_0-1)*2/
: T
: Thanks
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