Why the study?
The coverage of option strike prices for calculating implied volatility indices is incomplete, especially in less active emerging markets, leading to truncation errors that need estimation.
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Comparison
Truncation error estimates for S&P 500 versus Chinese ETF50 and other emerging markets
Design
Development of a new approach to pricing corridor variance swaps and estimation of truncation error
A new approach to pricing corridor variance swaps allows for the estimation of truncation errors in volatility indices across different global markets.
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J. Llewelyn (2003) studied this question.
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