Pricing VXX option with default risk and positive volatility skew.
Qunfang BaoShenghong LiDonggeng GongPublished in: Eur. J. Oper. Res. (2012)
Keyphrases
- option pricing
- black scholes
- stock price
- financial markets
- black scholes model
- convertible bonds
- non stationary
- stock market
- financial crisis
- portfolio optimization
- stock exchange
- risk management
- positive and negative
- news articles
- historical data
- stock returns
- financial data
- exchange rate
- early warning
- decision analysis
- aspect ratio
- high risk
- default rules
- positively correlated
- financial time series
- decision making
- chinese stock market
- risk factors
- long term