Can I read Vix RND on EtoBox?

Vix RND by biondimi is a document available to read on EtoBox.

What is Vix RND about?

This paper proposes a non-structural method to derive the risk-neutral density implied by options on the CBOE Volatility Index (VIX) using orthogonal polynomial expansions around a kernel density without requiring a parametric specification. The methodology is tested on a panel of traded VIX options, revealing stylized facts about the risk-neutral moments and variance swap term structure.

Author

biondimi

Language

EN