most citedFractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging

24 citations · 24 across the 1 of their papers we have counts for

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1 paper

q-fin.MF2021★ 24 cited

Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging

Nicholas Salmon, Indranil SenGupta

In this paper, we introduce and analyze the fractional Barndorff-Nielsen and Shephard (BN-S) stochastic volatility model. The proposed model is based upon two desirable properties…