7. (VIX calculation) Using the S&P 500 option data on the chapter website (collected on July 4,...

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7. (VIX calculation) Using the S&P 500 option data on the chapter website (collected on July 4, 2013 for options expiring on July 25, 2013), calculate the VIX index value following the procedure discussed in the book. Take the risk-free interest rate value to be 5% for the purpose of calculation. Also highlight the strike price K0 and show the contribution by strike for all the options.

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Principles Of Financial Engineering

ISBN: 9780123869685

3rd Edition

Authors: Robert Kosowski, Salih N. Neftci

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