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

Issaka, Aziz, SenGupta, Indranil. (2017). Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price index . 13(4), 401-434. 10.1007/s10436-017-0302-3

cited authors

  • Issaka, Aziz; SenGupta, Indranil

authors

publication date

  • November 1, 2017

keywords

  • Barndorff-Nielsen and Shephard model
  • Business & Economics
  • Business, Finance
  • EQUATIONS
  • Price index
  • STOCHASTIC VOLATILITY MODELS
  • Social Sciences
  • Stochastic volatility
  • Variance swap
  • Weak convergence

Digital Object Identifier (DOI)

publisher

  • SPRINGER HEIDELBERG

start page

  • 401

end page

  • 434

volume

  • 13

issue

  • 4