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

Salmon, Nicholas, SenGupta, Indranil. (2021). Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging .

cited authors

  • Salmon, Nicholas; SenGupta, Indranil

authors

publication date

  • May 5, 2021

webpage

keywords

  • 91G15, 60G51
  • q-fin.MF
  • q-fin.PR