The notion of model-free implied volatility (MFIV), constituting the basis for the highly publicized VIX volatility index, can be hard to measure with accuracy due to the lack of precise prices for options with strikes in the tails of the return distribution. This is reflected in practice as the...

This paper analyzes the performance of the two CBOE PutWrite Indexes through the end of 2015. The two PutWrite indexes are found to have had strong performance in several areas: 1) Annual premium income: From 2006 to 2015, the average annual gross premium collected was 24.1 percent for the PUT...

We study properties of the Rearrangement Algorithm (RA) in the context of inferring dependence among variables given their marginal distributions and the distribution of the sum. We show that the RA yields solutions that are “close to each other” and exhibit almost maximum entropy. The...