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

Salmon, Nicholas, SenGupta, Indranil. (2021). Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging . Annals of Finance, 17(4), 529-558. 10.1007/s10436-021-00394-4

cited authors

  • Salmon, Nicholas; SenGupta, Indranil

authors

publication date

  • December 1, 2021

published in

keywords

  • Business & Economics
  • Business, Finance
  • Fractional Brownian motion
  • LONG MEMORY
  • Ornstein-Uhlenbeck process
  • Quadratic hedging
  • Social Sciences
  • Swaps
  • Young integral

Digital Object Identifier (DOI)

start page

  • 529

end page

  • 558

volume

  • 17

issue

  • 4