Volatility and Variance Swap Using Superposition of the Barndorff-Nielsen and Shephard type Levy Processes Article

Habtemicael, Semere, Ghebremichael, Musie, SenGupta, Indranil. (2019). Volatility and Variance Swap Using Superposition of the Barndorff-Nielsen and Shephard type Levy Processes . 81(1), 75-92. 10.1007/s13571-017-0145-y

cited authors

  • Habtemicael, Semere; Ghebremichael, Musie; SenGupta, Indranil

authors

publication date

  • June 1, 2019

keywords

  • Cross validation
  • Cumulants
  • MODELS
  • Mathematics
  • Ornstein-Uhlenbeck process
  • Physical Sciences
  • Science & Technology
  • Statistics & Probability
  • Stochastic volatility
  • Superposition
  • Swap

Digital Object Identifier (DOI)

publisher

  • SPRINGER

start page

  • 75

end page

  • 92

volume

  • 81

issue

  • 1