Search Results - subject:"Barndorff-Nielsen and Shephard Model"

Multi-asset generalized variance swaps in Barndorff-Nielsen and Shephard model

Biswas, Subhojit; Mukherjee, Diganta; SenGupta, Indranil - In: International journal of financial engineering 7 (2020) 4, pp. 1-36

Persistent link: https://www.econbiz.de/10012603783

Barndorff-Nielsen and Shephard model : oil hedging with variance swap and option

SenGupta, Indranil; Wilson, William W.; Nganje, William - In: Mathematics and financial economics 13 (2019) 2, pp. 209-226

Persistent link: https://www.econbiz.de/10012055793

Analysis of variance based instruments for Ornstein-Uhlenbeck type models : swap and price index

Issaka, Aziz; SenGupta, Indranil - In: Annals of finance 13 (2017) 4, pp. 401-434

Persistent link: https://www.econbiz.de/10011945581

Pricing variance and volatility swaps for Barndorff-Nielsen and Shephard process driven financial markets

Habtemicael, Semere; SenGupta, Indranil - In: International journal of financial engineering 3 (2016) 4, pp. 1-35

Persistent link: https://www.econbiz.de/10011673089

Symmetry and Bates’ rule in Ornstein–Uhlenbeck stochastic volatility models

Fajardo, José - In: Decisions in Economics and Finance 37 (2014) 2, pp. 319-327

We find necessary and sufficient conditions for the market symmetry property, introduced by Fajardo and Mordecki (Quant Finance 6(3):219–227, <CitationRef CitationID="CR10">2006</CitationRef>), to hold in the Ornstein–Uhlenbeck stochastic volatility model, henceforth OU–SV. In particular, we address the non-Gaussian OU–SV model...</citationref>

Persistent link: https://www.econbiz.de/10010993489