vxx options review：Joint calibration of VIX and VXX options
Joint calibration of VIX and VXX options
由SLu著作·2023·被引用1次—Abstract.ThispaperstudiestheeffectsofvolatilityclusteringonthejointcalibrationofVIXandVXXoptions.Wefindthatmodelwhichincorporates ...。其他文章還包含有：「ETFAnalysis」、「iPathSeriesBS&P500VIXShort」、「PricingVXXoptionwithdefaultriskandpositivevolatility...」、「PricingVXXoptionsbymodelingVIXdirectly」、「VIXVERSUSVXX」、「VIXvsVXX」、「VXXOptions」、「VXXOptionsStra...
查看更多 離開網站
ETF Analysis
https://www.investopedia.com
The iPath S&P 500 VIX Short-Term Futures (VXX) is an exchange-traded note (ETN) designed to provide investors with exposure to equity market volatility.
iPath Series B S&P 500 VIX Short
https://finance.yahoo.com
View the basic VXX option chain and compare options of iPath Series B S&P 500 VIX Short-Term Futures ETN on Yahoo Finance.
Pricing VXX option with default risk and positive volatility ...
https://www.sciencedirect.com
This paper proposes and makes a comparative study of alternative models for VXX option pricing. Factors such as mean-reversion, jumps, ...
Pricing VXX options by modeling VIX directly
https://ideas.repec.org
In this paper, we first develop a theoretical and model‐free VXX formula in terms of Volatility Index (VIX) futures in both discrete and continuous forms.
VIX VERSUS VXX
https://www.worldscientific.co
We propose a framework for modeling in a consistent manner the VIX index and the VXX, an exchange-traded note written on the VIX. Our study enables to link ...
VIX vs VXX
https://www.researchgate.net
The model provides a more flexible modeling of the time variation in VXX options smirk and VXX options volatility term structure compared with previous model ...
VXX Options
https://www.tastylive.com
The VXX is an Exchange Traded Note (ETN) that tracks the VIX short-term futures. To be more specific, the VXX is a portfolio composed of the front two-month ...
VXX Options Strategy Review
https://optionstradingiq.com
The strategy I've been using is a diagonal put spread that has zero risk on the upside and a nice profit zone on the downside.