Multi-asset Generalised Variance Swaps in Barndorff-Nielsen and Shephard model

2020/11/26 by Subhojit Biswas, Biswas, Subhojit, Diganta Mukherjee +3 · 1 citation
Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #FOS: Economics and business #Financial Risk and Volatility Modeling #Mathematical Finance (q-fin.MF) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2011.13474

openalex publication_date 2020/11/26 · openalex created_date 2020/12/07 · openalex updated_date 2026/07/28

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.

Citations

• Testing for jumps in a discretely observed process

Cited by

• Multivariate Variance Swap Using Generalized Variance Method for Stochastic Volatility models

Related

• A Proposal for Multi-asset Generalised Variance Swaps
• Multivariate Variance Swap Using Generalized Variance Method for Stochastic Volatility models
• Model independent hedging strategies for variance swaps
• Modeling and Pricing of Covariance and Correlation Swaps for Financial Markets with Semi-Markov Volatilities
• Model-Free Discretisation-Invariant Swap Contracts