Construction of Volatility Indices Using a Multinomial Tree Approximation Method

Dragos Bozdog, Ionuţ Florescu, Khaldoun Khashanah, Hongwei Qiu

Research output: Chapter in Book/Report/Conference proceedingChapterpeer-review

3 Scopus citations
Original languageEnglish
Title of host publicationHandbook of Modeling High-Frequency Data in Finance
Pages97-115
Number of pages19
DOIs
StatePublished - 7 Nov 2011

Keywords

  • CBOE Market Volatility Index (VIX)
  • CVIX-b, pVIX-b, market movement
  • Stochastic volatility quadrinomial tree

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