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October 23, 2014

Valuation of VIX derivatives

October 23, 2014/ Ferry Boekholt

A study conducted by the Bank of Spain by Javier Mencía and Enrique Sentana. In it they studied the valuation of VIX between 2004 and 2007 to see the distortion in a financial crisis

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October 23, 2014/ Ferry Boekholt/
Derivatives, Show all
Sentana, VIX, Mencia, Volatilty, Derivatives

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