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

Author: Benth Fred Espen   Groth Martin   Kufakunesu Rodwell  

Publisher: Routledge Ltd

ISSN: 1466-4313

Source: Applied Mathematical Finance, Vol.14, Iss.4, 2007-09, pp. : 347-363

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Abstract