Modeling VXX under jump diffusion with stochastic long‐term mean

Author:

Gehricke Sebastian A.1ORCID,Zhang Jin E.1

Affiliation:

1. Department of Accountancy and Finance, Otago Business SchoolUniversity of OtagoDunedin New Zealand

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Reference52 articles.

1. Volatility Exchange-Traded Notes: Curse or Cure?

2. Diversification with volatility products

3. An Empirical Investigation of Continuous-Time Equity Return Models

4. Banerji G.(2017). Wells Fargo to compensate customers for risky ETP recommendations.The Wall Street Journal.https://www.wsj.com/articles/wells‐fargo‐to‐compensate‐clients‐for‐volatility‐etps‐after‐charges‐by‐regulator‐1508186070

5. Pricing VXX option with default risk and positive volatility skew

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1. Joint calibration of VIX and VXX options: does volatility clustering matter?;The European Journal of Finance;2023-12-30

2. Pricing VXX options by modeling VIX directly;Journal of Futures Markets;2022-02-28

3. VIX term structure: The role of jump propagation risks;Journal of Futures Markets;2021-05-06

4. Tracking performance of VIX futures ETPs;Journal of Empirical Finance;2021-03

5. Trader positions in VIX futures;Journal of Empirical Finance;2021-03

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