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

Biswas, Subhojit, Mukherjee, Diganta, SenGupta, Indranil. (2020). Multi-asset generalized variance swaps in Barndorff-Nielsen and Shephard model . International Journal of Financial Engineering, 7(4), 10.1142/S2424786320500516

cited authors

  • Biswas, Subhojit; Mukherjee, Diganta; SenGupta, Indranil

authors

publication date

  • December 1, 2020

published in

keywords

  • Barndorff-Nielsen and Shephard model
  • Business & Economics
  • Business, Finance
  • JUMPS
  • Social Sciences
  • VOLATILITY
  • generalized variance
  • maximum eigenvalue
  • swaps
  • trace

Digital Object Identifier (DOI)

volume

  • 7

issue

  • 4