Analysis of variance based instruments for Ornstein-Uhlenbeck type models : swap and price index
Aziz Issaka, Indranil SenGupta
| Year of publication: |
November 2017
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|---|---|
| Authors: | Issaka, Aziz ; SenGupta, Indranil |
| Published in: |
Annals of finance. - Berlin : Springer, ISSN 1614-2446, ZDB-ID 2174824-X. - Vol. 13.2017, 4, p. 401-434
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| Subject: | Barndorff-Nielsen and Shephard model | Variance swap | Stochastic volatility | Price index | Weak convergence | Swap | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Preisindex | Varianzanalyse | Analysis of variance | Optionspreistheorie | Option pricing theory | Aktienindex | Stock index | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10436-017-0302-3 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011945581