Pricing VXX option with default risk and positive volatility skew (Q1927010)

From MaRDI portal
Revision as of 00:36, 6 July 2024 by ReferenceBot (talk | contribs) (‎Changed an Item)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)
scientific article
Language Label Description Also known as
English
Pricing VXX option with default risk and positive volatility skew
scientific article

    Statements

    title
    Pricing VXX option with default risk and positive volatility skew (English)
    0 references
    author
    Qunfang Bao
    0 references
    Donggeng Gong
    0 references
    Sheng-Hong Li
    0 references
    publication date
    29 December 2012
    0 references
    zbMATH Keywords
    pricing
    0 references
    ETN
    0 references
    VXX options
    0 references
    positive volatility skew
    0 references
    jump-to-default
    0 references

    Identifiers

    zbMATH DE Number
    6119570
    0 references
    OpenAlex ID
    W2091363287
    0 references
     
    Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Item:Q1927010&oldid=35314551"
    Powered by MediaWiki