VIX versus VXX: a joint analytical framework
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A consistent pricing model for index options and volatility derivatives
- A decomposition of Bessel Bridges
- Arbitrage Theory in Continuous Time
- Continuous Time Wishart Process for Stochastic Risk
- Dynamic index tracking and risk exposure control using derivatives
- scientific article; zbMATH DE number 2133106 (Why is no real title available?)
- scientific article; zbMATH DE number 6521211 (Why is no real title available?)
- Pricing VXX option with default risk and positive volatility skew
- SOLVABLE AFFINE TERM STRUCTURE MODELS
- Statistics of VIX futures and applications to trading volatility exchange-traded products
- THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL
- The Valuation of Volatility Options
Cited in
(9)- Dissecting the tracking performance of regular and leveraged VIX ETPs
- Pricing variance swaps under subordinated Jacobi stochastic volatility models
- Why is VIX a fear gauge?
- Statistics of VIX futures and applications to trading volatility exchange-traded products
- Analysis of VIX markets with a time-spread portfolio
- VIX futures term structure and the expectations hypothesis
- The VIX and future information
- Trading signals in VIX futures
- A general framework for a joint calibration of VIX and VXX options
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