Pricing VXX option with default risk and positive volatility skew.

Qunfang Bao Shenghong Li Donggeng Gong

Published 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