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

By Fred Espen Benth, Martin Groth, Rodwell Kufakunesu. 2007

54 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/b5fb823ed960c7c21ea2ee3d7c8cfff842e30d39

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1. Carole Bernard

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Citations in the corpus

• Analysis of variance based instruments for Ornstein–Uhlenbeck type models: swap and price index (2017, unknown): “In Benth et al. (2007) investigate swaps written on powers of realized volatility in the stochastic volatility model proposed by Barndorff-Nielsen and Shephard.”
• Prices and Asymptotics for Discrete Variance Swaps (2013, background): “Notes 1See, for example, Howison, Rafailidis, and Rasmussenn (2004), Windcliff, Forsyth, and Vetzal (2006), Benth, Groth, and Kufakunesu (2007) and Broadie and Jain (2008b).”