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

Habtemicael, Semere, SenGupta, Indranil. (2016). Pricing variance and volatility swaps for Barndorff-Nielsen and Shephard process driven financial markets . 3(4), 10.1142/S2424786316500274

cited authors

  • Habtemicael, Semere; SenGupta, Indranil

authors

publication date

  • December 1, 2016

keywords

  • Barndorff-Nielsen and Shephard model
  • Business & Economics
  • Business, Finance
  • DISCRETE
  • Levy processes
  • MODELS
  • OPTIONS
  • Ornstein-Uhlenbeck process
  • STOCHASTIC VOLATILITY
  • Social Sciences
  • stochastic volatility
  • variance swap

Digital Object Identifier (DOI)

publisher

  • WORLD SCIENTIFIC PUBL CO PTE LTD

volume

  • 3

issue

  • 4