Barndorff-Nielsen and Shephard model: oil hedging with variance swap and option Article

SenGupta, Indranil, Wilson, William, Nganje, William. (2019). Barndorff-Nielsen and Shephard model: oil hedging with variance swap and option . 13(2), 209-226. 10.1007/s11579-018-0225-4

cited authors

  • SenGupta, Indranil; Wilson, William; Nganje, William

sustainable development goals

authors

publication date

  • March 1, 2019

keywords

  • Barndorff-Nielsen and Shephard model
  • Business & Economics
  • Business, Finance
  • Economics
  • Mathematical Methods In Social Sciences
  • Mathematics
  • Mathematics, Interdisciplinary Applications
  • Oil commodity
  • Options and swaps
  • PRICES
  • Physical Sciences
  • Quadratic hedging
  • STRATEGY
  • Science & Technology
  • Social Sciences
  • Social Sciences, Mathematical Methods
  • Stochastic volatility
  • VOLATILITY

Digital Object Identifier (DOI)

publisher

  • SPRINGER HEIDELBERG

start page

  • 209

end page

  • 226

volume

  • 13

issue

  • 2