Well,

It's a pain with these O2 sensors sometime...first of all what brand did you use?
Should be Bosch or original Volvo O2 sensor..my mechanic was telling me ..that if you don't a Volvo computer ....you can't clear well the O2 codes ...
Maybe you should find first a Volvo mechanic to clear the code and to see if the O2 sensor works ....yu should see on the computer the signal in mV (should be under 1V) and changing values prety fast...
Another thing if the front one was gone it is very possible that you have to change the rear one too...

Well I have this problem more than one month now ...I've changed both O2 sensors and I still have the light on .. But in my case I have my CCs broken .... and I have to replace it and I will see after ...

Good luck...