The implied volatility smirk in the VXX options market
Sebastian A. Gehricke and Jin E. Zhang
| Year of publication: |
2020
|
|---|---|
| Authors: | Gehricke, Sebastian A. ; Zhang, Jin E. |
| Published in: |
Applied economics. - New York, NY : Routledge, ISSN 1466-4283, ZDB-ID 1473581-7. - Vol. 52.2020, 8, p. 769-788
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| Subject: | Implied volatility (IV) | IV smirk | VIX futures ETN | VXX | VXX options | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Derivat | Derivative | Index-Futures | Index futures | Black-Scholes-Modell | Black-Scholes model |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2019.1646402 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012197465