Valuing Volatility and Variance Swaps for a Non‐Gaussian Ornstein–Uhlenbeck Stochastic Volatility Model (Q5459531)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Valuing Volatility and Variance Swaps for a Non‐Gaussian Ornstein–Uhlenbeck Stochastic Volatility Model |
scientific article; zbMATH DE number 5269307
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Valuing Volatility and Variance Swaps for a Non‐Gaussian Ornstein–Uhlenbeck Stochastic Volatility Model |
scientific article; zbMATH DE number 5269307 |
Statements
Valuing Volatility and Variance Swaps for a Non‐Gaussian Ornstein–Uhlenbeck Stochastic Volatility Model (English)
0 references
29 April 2008
0 references
risk
0 references
heading contracts
0 references
realized volatility, stochastic volatility
0 references
Levy proceses
0 references
Laplace transform
0 references
0 references
0 references
0.8373315930366516
0 references
0.8202576637268066
0 references
0.7984346151351929
0 references
0.7930328249931335
0 references
