Valuing volatility and variance swaps for a non-Gaussian Ornstein-Uhlenbeck stochastic volatility model
Year of publication: |
2007
|
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Authors: | Benth, Fred Espen ; Groth, Martin ; Kufakunesu, Rodwell |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 14.2007, 4, p. 347-363
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Subject: | Volatilität | Volatility | Swap | Hedging | Stochastischer Prozess | Stochastic process |
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