Variance swaps with double exponential Ornstein-Uhlenbeck stochastic volatility
Year of publication: |
2019
|
---|---|
Authors: | Kim, See-Woo ; Kim, Jeong-Hoon |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 48.2019, p. 149-169
|
Subject: | Ornstein-Uhlenbeck process | Sampling frequency | Stochastic volatility | Variance swap | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Swap | Finanzkrise | Financial crisis | Optionspreistheorie | Option pricing theory | Stichprobenerhebung | Sampling |
-
Habtemicael, Semere, (2016)
-
Valuation of options on discretely sampled variance : a general analytic approximation
Drimus, Gabriel, (2016)
-
Variance swap with mean reversion, multifactor stochastic volatility and jumps
Pun, Chi Seng, (2015)
- More ...
-
Rough stochastic elasticity of variance and option pricing
Cao, Jiling, (2020)
-
Variance swaps with deterministic and stochastic correlations
Han, Ah-Reum, (2021)
-
Volatility and variance swaps and options in the fractional SABR model
Kim, See-Woo, (2020)
- More ...