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Valuing volatility and variance swaps for a non-Gaussian Ornstein-Uhlenbeck stochastic volatility model
Benth, Fred Espen
;
Groth, Martin
;
Kufakunesu, Rodwell
- In:
Applied mathematical finance
14
(
2007
)
4
,
pp. 347-363
Persistent link: https://www.econbiz.de/10003543050
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Valuing Volatility and Variance Swaps for a Non-Gaussian Ornstein-Uhlenbeck Stochastic Volatility Model
Benth, Fred Espen
;
Groth, Martin
;
Kufakunesu, Rodwell
- In:
Applied mathematical finance
14
(
2007
)
4
,
pp. 347
Persistent link: https://www.econbiz.de/10008221672
Saved in:
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