Analysis of variance based instruments for Ornstein-Uhlenbeck type models : swap and price index
Year of publication: |
November 2017
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Authors: | Issaka, Aziz ; SenGupta, Indranil |
Published in: |
Annals of finance. - Berlin : Springer, ISSN 1614-2446, ZDB-ID 2174824-X. - Vol. 13.2017, 4, p. 401-434
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Subject: | Barndorff-Nielsen and Shephard model | Variance swap | Stochastic volatility | Price index | Weak convergence | Volatilität | Volatility | Swap | Stochastischer Prozess | Stochastic process | Preisindex | Optionspreistheorie | Option pricing theory |
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