给定两个期限的多次执行的期权数据,代码实现了VIX和CX指数。实现如下:Andersen、Torben G.、Oleg Bondarenko和Maria T. Gonzalez-Perez。 “通过走廊隐含波动率探索回报动态。”金融研究评论28.10 (2015): 2902-2945。
VIX_and_CX_Index_Implementation_Via_Options_Data_in_MATLAB
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