Pricing VXX option with default risk and positive volatility skew
| Year of publication: |
2012
|
|---|---|
| Authors: | Bao, Qunfang ; Li, Shenghong ; Gong, Donggeng |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 2430034. - Vol. 223.2012, 1 (16.11.), p. 246-256
|