Valuing Volatility and Variance Swaps for a Non-Gaussian Ornstein-Uhlenbeck Stochastic Volatility Mo...
Valuing Volatility and Variance Swaps for a Non-Gaussian Ornstein-Uhlenbeck Stochastic Volatility Model
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Publisher
Abingdon: Taylor & Francis
Journal title
Language
English
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Publisher
Abingdon: Taylor & Francis
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Scope and Contents
Contents
Following the increasing awareness of the risk from volatility fluctuations, the market for hedging contracts written on realized volatility has surged. Companies looking for means to secure against unexpected accumulation of market activity can find over-the-counter products written on volatility indices. Since the Black and Scholes model require...
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Full title
Valuing Volatility and Variance Swaps for a Non-Gaussian Ornstein-Uhlenbeck Stochastic Volatility Model
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Record Identifier
TN_cdi_proquest_journals_216654007
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_216654007
Other Identifiers
ISSN
1350-486X
E-ISSN
1466-4313
DOI
10.1080/13504860601170609
