Variance swaps under the threshold Ornstein–Uhlenbeck model
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Publication:4624950
DOI10.1002/ASMB.2252zbMath1420.91456OpenAlexW2610480722MaRDI QIDQ4624950
Publication date: 20 February 2019
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/asmb.2252
Related Items (2)
Drift Estimation of the Threshold Ornstein-Uhlenbeck Process From Continuous and Discrete Observations ⋮ EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE
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