Topic: Inferring information from S&P 500 and CBOE indices: The more the merrier?

When: 2:00p.m.-3:00p.m., Friday, September 27, 2019

Where: Room B-218, Building No.32, Peiyang Park Campus

Lecturer: Cao Jiling (Auckland University of Technology, New Zealand)

About the lecture: The Chicago Board Options Exchange (CBOE) updated the CBOE Volatility Index(VIX) in 2003 and further launched the CBOE Skew Index (SKEW) in 2011, in order to measure the 30-day risk-neutral volatility and skewness of the S&P 500 Index (SPX). In this work, we mainly compares the information extracted from the SPX and CBOE indices in terms of the SPX option pricing performance. Based on our analysis, VIX is a very informative index for option prices. Whether adding the SKEW or the VIX term structure can improve the option pricing performance depends on the model we choose. Roughly speaking, the VIX term structure is informative for some models, while, the SKEW is very noisy and does not contain much important information for option prices.

Organizers: School of Mathematics, Tianjin University

All students and staff of Tianjin University are welcome.