The implied volatility smirk in the VXX options market
Author:
Affiliation:
1. Department of Accountancy and Finance, Otago Business School, University of Otago, Dunedin, New Zealand
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
https://www.tandfonline.com/doi/pdf/10.1080/00036846.2019.1646402
Reference38 articles.
1. Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices
2. Empirical Performance of Alternative Option Pricing Models
3. Pricing VXX option with default risk and positive volatility skew
4. Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets
5. Tail Wags Dog: Intraday Price Discovery in VIX Markets
Cited by 11 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Joint calibration of VIX and VXX options: does volatility clustering matter?;The European Journal of Finance;2023-12-30
2. Term spreads of implied volatility smirk and variance risk premium;Journal of Futures Markets;2023-05-08
3. A general framework for a joint calibration of VIX and VXX options;Annals of Operations Research;2023-02-04
4. VIX option‐implied volatility slope and VIX futures returns;Journal of Futures Markets;2022-03-21
5. Pricing VXX options by modeling VIX directly;Journal of Futures Markets;2022-02-28
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