Pricing VXX options by modeling VIX directly.
- Published in:
- Journal of Futures Markets, 2022, v. 42, n. 5, p. 888, doi. 10.1002/fut.22313
- By:
- Publication type:
- Article
Works matching IS 02707314 AND DT 2022 AND VI 42 AND IP 5
Results: 10
1
2
Editorial.
- Published in:
- Journal of Futures Markets, 2022, v. 42, n. 5, p. 789, doi. 10.1002/fut.22329
- Publication type:
- Article
3
A Black–Scholes user's guide to the Bachelier model.
- Published in:
- Journal of Futures Markets, 2022, v. 42, n. 5, p. 959, doi. 10.1002/fut.22315
- By:
- Publication type:
- Article
4
Investment horizon and option market activity.
- Published in:
- Journal of Futures Markets, 2022, v. 42, n. 5, p. 923, doi. 10.1002/fut.22314
- Publication type:
- Article
5
Volatility spillovers: A sparse multivariate GARCH approach with an application to commodity markets.
- Published in:
- Journal of Futures Markets, 2022, v. 42, n. 5, p. 868, doi. 10.1002/fut.22312
- By:
- Publication type:
- Article
6
Pricing vulnerable options under correlated skew Brownian motions.
- Published in:
- Journal of Futures Markets, 2022, v. 42, n. 5, p. 852, doi. 10.1002/fut.22311
- By:
- Publication type:
- Article
7
Effects of the Covid‐19 pandemic on derivatives markets: Evidence from global futures and options exchanges.
- Published in:
- Journal of Futures Markets, 2022, v. 42, n. 5, p. 823, doi. 10.1002/fut.22310
- By:
- Publication type:
- Article
8
A trend factor in commodity futures markets: Any economic gains from using information over investment horizons?
- Published in:
- Journal of Futures Markets, 2022, v. 42, n. 5, p. 803, doi. 10.1002/fut.22291
- By:
- Publication type:
- Article
9
Sheep in wolves' clothing: Using false signals of demand to execute a market power manipulation.
- Published in:
- Journal of Futures Markets, 2022, v. 42, n. 5, p. 790, doi. 10.1002/fut.22267
- Publication type:
- Article
10
Journal of Futures Markets: Volume 42, Number 5, May 2022.
- Published in:
- Journal of Futures Markets, 2022, v. 42, n. 5, p. 787, doi. 10.1002/fut.22231
- Publication type:
- Article