Volatility and variance swap using superposition of the Barndorff-Nielsen and Shephard type Lévy processes (Q2278860)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Volatility and variance swap using superposition of the Barndorff-Nielsen and Shephard type Lévy processes |
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Volatility and variance swap using superposition of the Barndorff-Nielsen and Shephard type Lévy processes (English)
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11 December 2019
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swap
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cumulants
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stochastic volatility
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Ornstein-Uhlenbeck process
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superposition
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cross validation
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