Explain why the VIX formula in equation (24.29) overestimates implied volatility if options are American.

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Derivatives Markets

ISBN: 978-0321543080

4th edition

Authors: Rober L. Macdonald

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Question Posted: Dec 18, 2015 05:18 AM

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Explain why the VIX formula in equation (24.29) overestimates implied volatility if options are American.

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Some of the inputs in the VIX formula are the observed price...View the full answer

Derivatives Markets

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