Variance swaps under the threshold Ornstein–Uhlenbeck model (Q4624950)
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scientific article; zbMATH DE number 7026384
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Variance swaps under the threshold Ornstein–Uhlenbeck model |
scientific article; zbMATH DE number 7026384 |
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Variance swaps under the threshold Ornstein–Uhlenbeck model (English)
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20 February 2019
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volatility risk
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variance swap
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threshold OU model
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