Multi-asset generalized variance swaps in Barndorff-Nielsen and Shephard model
Year of publication: |
2020
|
---|---|
Authors: | Biswas, Subhojit ; Mukherjee, Diganta ; SenGupta, Indranil |
Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 7.2020, 4, p. 1-36
|
Subject: | Barndorff-Nielsen and Shephard model | generalized variance | maximum eigenvalue | swaps | trace | Swap | Schätztheorie | Estimation theory |
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