Pricing variance and volatility swaps for Barndorff-Nielsen and Shephard process driven financial markets
Semere Habtemicael, Indranil SenGupta
| Year of publication: |
December 2016
|
|---|---|
| Authors: | Habtemicael, Semere ; SenGupta, Indranil |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 3.2016, 4, p. 1-35
|
| Subject: | Barndorff-Nielsen and Shephard model | variance swap | stochastic volatility | Ornstein-Uhlenbeck process | Lévy processes | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Swap | 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/S2424786316500274 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011673089