Implied Volatility and Extracted Risk Neutral Density of VIX Options during the Crisis and Relatively Calm Periods
The 2008 financial crisis provides a valuable opportunity to study empirical data of market volatility during severe financial crisis. In this thesis, we study the implied volatility of VIX options during the crisis (2008) and a relatively calm period (2011). We present a method of calculating the i...
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Digital WPI
2015
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| Online Access: | https://digitalcommons.wpi.edu/etd-theses/591 https://digitalcommons.wpi.edu/cgi/viewcontent.cgi?article=1590&context=etd-theses |