Specification analysis of VXX option pricing models under Lévy processes-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

Specification analysis of VXX option pricing models under Lévy processes

Published:2021-05-20 Issue:9 Volume:41 Page:1456-1477
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:J Futures Markets

Author:

Cao Jiling¹,Ruan Xinfeng²^ORCID,Su Shu¹,Zhang Wenjun¹^ORCID

Affiliation:

1. Department of Mathematical Sciences, School of Engineering, Computer and Mathematical Sciences Auckland University of Technology Auckland New Zealand

2. Department of Accountancy and Finance, Otago Business School University of Otago Dunedin New Zealand

Publisher

Wiley

Subject

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

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.22218

Reference40 articles.

1. Maximum likelihood estimation of stochastic volatility models

2. Trading and Investing in Volatility Products

3. Lévy Processes and Stochastic Calculus

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

5. Parameter Estimation of Nonlinear Muskingum Models Using Nelder-Mead Simplex Algorithm

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

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP