Valuing Volatility and Variance Swaps for a Non‐Gaussian Ornstein–Uhlenbeck Stochastic Volatility Model (Q5459531)
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scientific article; zbMATH DE number 5269307
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| 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)
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29 April 2008
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risk
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heading contracts
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realized volatility, stochastic volatility
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Levy proceses
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Laplace transform
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0.8373315930366516
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0.8202576637268066
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0.7984346151351929
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0.7930328249931335
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