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Goldman Sachs - Quantitative Strategies Research Notes
Collection of papers from the Goldman Sachs Quantitative Strategies Research Notes series (published in the '90s)
999726541
using one-day options with all strike price to calculated VIX value by using "“More than you ever wanted to know about volatility swaps” by Kresimir Demeterfi, Emanuel Derman, Michael Kamal and Joseph Zou, Goldman Sachs Quantitative Strategies Research Notes, March 1999. " approach
Goldman Sachs - Quantitative Strategies Research Notes
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