Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price index
type: Item
instance of: scholarly article
title: Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price index
zbMATH Open document ID: 1411.91560
author: Peng Zhang
published in: Annals of Finance
publication date: 2017-11-30T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 60J60
zbMATH DE Number: 6814133
zbMATH Keywords: Barndorff-Nielsen and Shephard model
zbMATH Keywords: variance swap
zbMATH Keywords: stochastic volatility
zbMATH Keywords: price index
zbMATH Keywords: weak convergence
MaRDI profile type: Publication
full work available at URL: s10436-017-0302-3
OpenAlex ID: W2739606646
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DOI: 10.1007/S10436-017-0302-3
description: scientific article; zbMATH DE number 6814133