IDEAS home Printed from https://ideas.repec.org/a/wsi/ijfexx/v07y2020i04ns2424786320500516.html
   My bibliography  Save this article

Multi-asset generalized variance swaps in Barndorff-Nielsen and Shephard model

Author

Listed:
  • Subhojit Biswas

    (Indian Statistical Institute, Kolkata, India)

  • Diganta Mukherjee

    (Sampling and Official Statistics Unit, Indian Statistical Institute, Kolkata, India)

  • Indranil SenGupta

    (Department of Mathematics, North Dakota State University, Fargo, North Dakota, USA)

Abstract

This paper proposes swaps on two important new measures of generalized variance, namely, the maximum eigenvalue and trace of the covariance matrix of the assets involved. We price these generalized variance swaps for Barndorff-Nielsen and Shephard model used in financial markets. We consider multiple assets in the portfolio for theoretical purpose and demonstrate our approach with numerical examples taking three stocks in the portfolio. The results obtained in this paper have important implications for the commodity sector where such swaps would be useful for hedging risk.

Suggested Citation

  • Subhojit Biswas & Diganta Mukherjee & Indranil SenGupta, 2020. "Multi-asset generalized variance swaps in Barndorff-Nielsen and Shephard model," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 7(04), pages 1-36, December.
    • Handle: RePEc:wsi:ijfexx:v:07:y:2020:i:04:n:s2424786320500516
    DOI: 10.1142/S2424786320500516
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S2424786320500516
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1142/S2424786320500516?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:ijfexx:v:07:y:2020:i:04:n:s2424786320500516. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscientific.com/worldscinet/ijfe .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.