Pricing VXX option with default risk and positive volatility skew

DOI10.1016/j.ejor.2012.06.006zbMath1253.91174OpenAlexW2091363287MaRDI QIDQ1927010

Donggeng Gong, Qunfang Bao, Sheng-Hong Li

Publication date: 29 December 2012

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2012.06.006

zbMATH Keywords

pricingjump-to-defaultETNpositive volatility skewVXX options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (9)

On moment non-explosions for Wishart-based stochastic volatility models ⋮ Universal recurrence algorithm for computing Nuttall, generalized Marcum and incomplete Toronto functions and moments of a noncentral \(\chi^{2}\) random variable ⋮ Regime-switching stochastic volatility model: estimation and calibration to VIX options ⋮ Option pricing and hedging in incomplete market driven by normal tempered stable process with stochastic volatility ⋮ VIX VERSUS VXX: A JOINT ANALYTICAL FRAMEWORK ⋮ The risk premium that never was: a fair value explanation of the volatility spread ⋮ A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps ⋮ VIX derivatives, hedging and vol-of-vol risk ⋮ Pricing and risk management of interest rate swaps

Cites Work

• Consistent modeling of S\&P 500 and VIX derivatives
• A jump to default extended CEV model: an application of Bessel processes
• Interest rate models -- theory and practice. With smile, inflation and credit
• Systematic equity-based credit risk: A CEV model with jump to default
• The Valuation of Volatility Options
• VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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