Extracting Model-Free Volatility from Option Prices: An Examination of the VIX Index

By George J. Jiang, Yisong S. Tian. 2007

194 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/9f51c581dd8e1b146d7b6e4d1c3d39b311850e4f

Citations in the corpus

• Forecasting with Option-Implied Information (2012, unknown): “To overcome truncation problems, Jiang and Tian (2005) use a flat extrapolation outside of the strike price range, whereas Jiang and Tian (2007) use a linear extrapolation with smooth pasting.”
• Resolution of Policy Uncertainty and Sudden Declines in Volatility (2017, unknown): “…we assume that the underlying N-dimensional factor Xt 5 Practitioners price variance swaps using a replicating portfolio of options, which relies on the same quadratic variation approximation, see Bossu et al. (2005), hence the discretization error can be ignored, e.g., Jiang and Tian (2007).”
• Tails, Fears and Risk Premia (2010, unknown): “…; for further discussion of the approximation errors involved in this calculation see the white paper on the CBOE website, as well as Carr and Wu (2009) and Jiang and Tian (2005, 2007). to the discussion above, the quadratic variation under Q is naturally decomposed into the expected variation…”
• Volatility in Equilibrium: Asymmetries and Dynamic Dependencies (2009, unknown): “…resolution of uncertainty, while ψ > 1 implies that 20A more detailed description of the mechanical calculation of the VIX index is available in the white paper on the CBOE website; see also the discussion in Jiang and Tian (2007). there is a negative link between the volatility and the P/D ratio.”