Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price index

DOI10.1007/s10436-017-0302-3zbMath1411.91560MaRDI QIDQ1682600

Peng Zhang

Publication date: 30 November 2017

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-017-0302-3

zbMATH Keywords

weak convergence; stochastic volatility; variance swap; price index; Barndorff-Nielsen and Shephard model

Mathematics Subject Classification ID

60H30: Applications of stochastic analysis (to PDEs, etc.)

60J60: Diffusion processes

91G20: Derivative securities (option pricing, hedging, etc.)