Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price index

DOI10.1007/s10436-017-0302-3zbMath1411.91560OpenAlexW2739606646MaRDI QIDQ1682600

Peng Zhang

Publication date: 30 November 2017

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-017-0302-3

zbMATH Keywords

weak convergencestochastic volatilityvariance swapprice indexBarndorff-Nielsen and Shephard model

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

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THE VIX AND FUTURE INFORMATION ⋮ On the implied market price of risk under the stochastic numéraire ⋮ On the inception of financial representative bubbles ⋮ Infinitesimal generators for two-dimensional Lévy process-driven hypothesis testing ⋮ Analysis of stock index with a generalized BN-S model: an approach based on machine learning and fuzzy parameters ⋮ Jump‐robust testing of volatility functions in continuous time models ⋮ Barndorff-Nielsen and Shephard model: oil hedging with variance swap and option ⋮ VIX MODELING FOR A MARKET INSIDER ⋮ VARIANCE AND VOLATILITY SWAPS UNDER A TWO-FACTOR STOCHASTIC VOLATILITY MODEL WITH REGIME SWITCHING ⋮ Moments of the asset price for the Barndorff-Nielsen and Shephard model ⋮ Volatility and variance swap using superposition of the Barndorff-Nielsen and Shephard type Lévy processes ⋮ PRICING AND HEDGING OF VIX OPTIONS FOR BARNDORFF-NIELSEN AND SHEPHARD MODELS ⋮ Double delayed feedback control of a nonlinear finance system ⋮ European option pricing under stochastic volatility jump-diffusion models with transaction cost ⋮ Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging ⋮ Variance and volatility swaps valuations with the stochastic liquidity risk ⋮ Variance swaps, volatility swaps, hedging and bounds under multi-factor Heston stochastic volatility model ⋮ Sequential Hypothesis Testing in Machine Learning, and Crude Oil Price Jump Size Detection

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