Variance and volatility swaps and options under the exponential fractional Ornstein–Uhlenbeck model

Author:

Kim Hyun-Gyoon,Kim See-Woo,Kim Jeong-HoonORCID

Funder

National Research Foundation of Korea

Publisher

Elsevier BV

Reference42 articles.

1. Stochastic integration with respect to the fractional Brownian motion;Alòs;Stochastics and Stochastics Reports,2003

2. Estimating the Hurst parameter from short term volatility swaps: A Malliavin calculus approach;Alòs;Finance and Stochastics,2019

3. The distribution of realized stock return volatility;Andersen;Journal of Financial Economics,2001

4. Stochastic calculus for fractional Brownian motion and applications;Biagini,2008

5. An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion;Biagini;Proceedings of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences,2004

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