摘要：
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.
简介：
Professor Jiling Cao is the Head of Mathematical Sciences Department, discipline
leader of Mathematical Sciences and and a doctoral student advisor in Auckland University
of Technology, New Zealand. He is a member of the American Mathematical Society, a fellow
of the New Zealand Mathematical Society, a reviewer for both of Mathematical Reviews and
Zentralblatt MATH. He has been a reviewer for many international journals. Prof Cao also
held visiting professorships and research fellowships in Japan, China, Brazil and India. He has
delivered invited addresses at many institutes and international conferences. Prof Cao's research
interests include nancial mathematics, mathematical economics and mathematical analysis.
He has authored and co-authored over 80 research papers, some of which are published in leading
journals in these areas. In his research work, Prof Cao has solved open problems posed by
McCoy and Gruenhage in analytic topology in 1975 and 2000 respectively, and open problems
posed by Herves-Beloso and Pesces in mathematical economics by applying the methods in
mathematical analysis. Currently, his research is focused on rough stochastic modeling and
derivatives pricing.
