PRICING COVARIANCE SWAPS FOR BARNDORFF-NIELSEN AND SHEPHARD PROCESS DRIVEN FINANCIAL MARKETS Article

Habtemicael, Semere, Sengupta, Indranil. (2016). PRICING COVARIANCE SWAPS FOR BARNDORFF-NIELSEN AND SHEPHARD PROCESS DRIVEN FINANCIAL MARKETS . 11(3), 10.1142/S2010495216500123

cited authors

  • Habtemicael, Semere; Sengupta, Indranil

authors

publication date

  • September 1, 2016

keywords

  • Business & Economics
  • DISCRETE
  • Economics
  • Levy processes
  • MODELS
  • Ornstein
  • STOCHASTIC VOLATILITY
  • Social Sciences
  • Swap
  • Uhlenbeck process
  • cumulants
  • stochastic volatility

Digital Object Identifier (DOI)

publisher

  • WORLD SCIENTIFIC PUBL CO PTE LTD

volume

  • 11

issue

  • 3