VIX VERSUS VXX: A JOINT ANALYTICAL FRAMEWORK

DOI10.1142/S0219024920500338zbMath1457.91375OpenAlexW3124020233MaRDI QIDQ5147999

Martino Grasselli, Lakshithe Wagalath

Publication date: 29 January 2021

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024920500338

zbMATH Keywords

VIXvolatility indexVIX exchange-traded notesVXX

Mathematics Subject Classification ID

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

Related Items (1)

Pricing variance swaps under subordinated Jacobi stochastic volatility models

Cites Work

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• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Continuous Time Wishart Process for Stochastic Risk
• Arbitrage Theory in Continuous Time

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