Vix option pricing in a jump-diffusion model

Artur Sepp
01 Apr 2008

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The Chicago Board Options Exchange (CBOE) Volatility Index (Vix) measures the implied volatility of S&P 500 stock index options with a maturity of 30 days. In a broad sense, the Vix represents the market expectation of the annualised at-the-money (ATM) implied volatility over the next 30-day period. The Vix spot value is calculated by the CBOE minute-to-minute using real-time bid/ask market quotes of S&P 500 index (SPX) options with nearby and second nearby maturities and applying the multiplier

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