Valuing Volatility and Variance Swaps for a Non‐Gaussian Ornstein–Uhlenbeck Stochastic Volatility Model

DOI10.1080/13504860601170609zbMath1141.91015OpenAlexW2061128599MaRDI QIDQ5459531

Martin Groth, Rodwell Kufakunesu, Fred Espen Benth

Publication date: 29 April 2008

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860601170609

zbMATH Keywords

Laplace transformriskheading contractsLevy procesesrealized volatility, stochastic volatility

Mathematics Subject Classification ID

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Cites Work

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