Specification analysis of VXX option pricing models under Lévy processes

C-Tier

Journal: Journal of Futures Markets

Year: 2021

Volume: 41

Issue: 9

Pages: 1456-1477

Authors (4)

Jiling Cao Xinfeng Ruan (not in RePEc) Shu Su (not in RePEc) Wenjun Zhang (not in RePEc)

Score contribution per author:

0.252 = (α=2.02 / 4 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count