Pricing VXX option with default risk and positive volatility skew-Reference-Cited by-同舟云学术

Pricing VXX option with default risk and positive volatility skew

Published:2012-11 Issue:1 Volume:223 Page:246-255
ISSN:0377-2217
Container-title:European Journal of Operational Research
language:en
Short-container-title:European Journal of Operational Research

Author:

Bao Qunfang,Li Shenghong,Gong Donggeng

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modeling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

Reference32 articles.

1. Q.F. Bao, S.H. Li, Pricing VIX Options in a Stochastic Vol-of-Vol Model, Working Paper, Zhejiang University, 2011.

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3. Interest Rate Models: Theory and Practice;Brigo,2006

4. D.G. Buitrago, iPath S&P 500 VIX Short-Term Futures ETN, Working Paper, 2009.

5. Systematic equity-based credit risk: a CEV model with jump to default;Campi;Journal of Economic Dynamics and Control,2009

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