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Fractional Barndorff-Nielsen and Shephard model : applications in variance and volatility swaps, and hedging

Nicholas Salmon, Indranil SenGupta
Year of publication:
2021
Authors: Salmon, Nicholas ; SenGupta, Indranil
Subject: Fractional Brownian motion | Young integral | Ornstein-Uhlenbeck process | Swaps | Quadratic hedging | Hedging | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Swap | Optionspreistheorie | Option pricing theory | Derivat | Derivative
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