Analysis of variance based instruments for Ornstein–Uhlenbeck type models: swap and price index
Author:
Publisher
Springer Science and Business Media LLC
Subject
General Economics, Econometrics and Finance,Finance
Link
http://link.springer.com/article/10.1007/s10436-017-0302-3/fulltext.html
Reference34 articles.
1. Agosto, A., Moretto, E.: Variance matters (in stochastic dividend discount models). Ann Financ 11(2), 283–295 (2015)
2. Barndorff-Nielsen, O.E.: Superposition of Ornstein–Uhlenbeck type processes. Theory Prob Appl 45, 175–194 (2001)
3. Barndorff-Nielsen, O.E.: Integrated OU processes and non-Gaussian OU-based stochastic volatility models. Scand J Stat 30(2), 277–295 (2003)
4. Barndorff-Nielsen, O.E., Jensen, J.L., Sørensen, M.: Some stationary processes in discrete and continuous time. Adv Appl Prob 30, 989–1007 (1998)
5. Barndorff-Nielsen, O.E., Shephard, N.: Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. J R Stat Soc Ser B (Stat Methodol) 63, 167–241 (2001a)
Cited by 42 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets;Finance and Stochastics;2024-09-12
2. Financial bubbles and behavioral “Tatonnement” dynamics;Reference Module in Social Sciences;2024
3. An analytic solution and an approximate solution for log‐return variance swaps under double‐mean‐reverting volatility;Mathematical Methods in the Applied Sciences;2023-10-11
4. Pricing of Pseudo-Swaps Based on Pseudo-Statistics;Risks;2023-08-03
5. VIX MODELING FOR A MARKET INSIDER;International Journal of Theoretical and Applied Finance;2023-08
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3