Pricing VXX option with default risk and positive volatility skew (Q1927010)
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scientific article; zbMATH DE number 6119570
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | Pricing VXX option with default risk and positive volatility skew |
scientific article; zbMATH DE number 6119570 |
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Pricing VXX option with default risk and positive volatility skew (English)
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29 December 2012
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pricing
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ETN
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VXX options
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positive volatility skew
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jump-to-default
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0.9134038
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0.8806726
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0.8736504
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0.87014526
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0.8645754
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0.8599134
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0.85868657
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0.85739547
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