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

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching

By Elliott Robert   Siu Tak Kuen   Chan Leunglung  

Applied Mathematical Finance, Vol. 14, Iss. 1, 2007-02 ,pp. : 41-62

Routledge Ltd

Access to resources Recommend Favorite

A Time-Dependent Variance Model for Pricing Variance and Volatility Swaps

By Goard Joanna  

Applied Mathematical Finance, Vol. 18, Iss. 1, 2011-03 ,pp. : 51-70

Routledge Ltd

Access to resources Recommend Favorite

A Non-Gaussian Ornstein-Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing

By Benth Fred Espen   Kallsen Jan   Meyer-Brandis Thilo  

Applied Mathematical Finance, Vol. 14, Iss. 2, 2007-05 ,pp. : 153-169

Routledge Ltd

Access to resources Recommend Favorite

Mean-variance portfolio selection based on a generalized BNS stochastic volatility model

By Dai Wanyang  

International Journal of Computer Mathematics, Vol. 88, Iss. 16, 2011-11 ,pp. : 3521-3534

Taylor & Francis Ltd

Access to resources Recommend Favorite

Stochastic volatility Gaussian Heath-Jarrow-Morton models

By Valchev Stoyan  

Applied Mathematical Finance, Vol. 11, Iss. 4, 2004-12 ,pp. : 347-368

Routledge Ltd

Access to resources Recommend Favorite