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arXiv 2011.134742020-11-26q-fin.MF

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

Subhojit Biswas, Diganta Mukherjee, Indranil SenGupta

备注：: Accepted in International Journal of Financial Engineering

英文摘要：

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.

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