Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging (Q2063058)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging |
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Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging (English)
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10 January 2022
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fractional Brownian motion
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Young integral
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Ornstein-Uhlenbeck process
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swaps
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quadratic hedging
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