VIX and CX

版本 1.0.1 (136.2 KB) 作者: Martin Magris

Implementation of (CBOE's) VIX and CX (Corridor implied Volatility) indexes from option data

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更新时间 2019/11/25

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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.

引用格式

Martin Magris (2024). VIX and CX (https://www.mathworks.com/matlabcentral/fileexchange/73439-vix-and-cx), MATLAB Central File Exchange. 检索来源 2024/4/26.