Pricing covariance swaps for Barndorff-Nielsen and Shephard process driven financial markets
Semere Habtemicael and Indranil Sengupta
| Year of publication: |
September 2016
|
|---|---|
| Authors: | Habtemicael, Semere ; SenGupta, Indranil |
| Published in: |
Annals of financial economics. - Hackensack, NJ [u.a.] : World Scientific, ISSN 2010-4952, ZDB-ID 2732467-9. - Vol. 11.2016, 3, p. 1-32
|
| Subject: | Swap | cumulants | stochastic volatility | Ornstein-Uhlenbeck process | Lévy processes | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Finanzmarkt | Financial market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2010495216500123 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011685720