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

Qunfang Bao, Shenghong Li, Donggeng Gong (2012)

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DOI: 10.1016/J.EJOR.2012.06.006

access: closed

type: Journal Article

metadata version: 2020-02-21

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Qunfang Bao, Shenghong Li, Donggeng Gong:
Pricing VXX option with default risk and positive volatility skew. Eur. J. Oper. Res. 223(1): 246-255 (2012)

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