Pricing VXX option with default risk and positive volatility skew (Q1927010): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
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+https://doi.org/10.1016/j.ejor.2012.06.006
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@@ Property / OpenAlex ID @@
+W2091363287
@@ Property / OpenAlex ID: W2091363287 / rank @@
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@@ Property / cites work @@
+Interest rate models -- theory and practice. With smile, inflation and credit
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+Systematic equity-based credit risk: A CEV model with jump to default
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@@ Property / cites work @@
+A jump to default extended CEV model: an application of Bessel processes
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@@ Property / cites work @@
+The Valuation of Volatility Options
@@ Property / cites work: The Valuation of Volatility Options / rank @@
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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@@ Property / cites work @@
+Consistent modeling of S\&P 500 and VIX derivatives
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+VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING
@@ Property / cites work: VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING / rank @@
+Normal rank