Barndorff-Nielsen and Shephard model : oil hedging with variance swap and option
Year of publication: |
2019
|
---|---|
Authors: | SenGupta, Indranil ; Wilson, William W. ; Nganje, William |
Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9679, ZDB-ID 2389728-4. - Vol. 13.2019, 2, p. 209-226
|
Subject: | Barndorff-Nielsen and Shephard model | Oil commodity | Options and swaps | Quadratic hedging | Stochastic volatility | Hedging | Swap | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Optionsgeschäft | Option trading | Rohstoffderivat | Commodity derivative | Derivat | Derivative |
-
The market price of risk for delivery periods : pricing swaps and options in electricity markets
Kemper, Annika, (2020)
-
Pricing and hedging of energy spread options and volatility modulated Volterra processes
Benth, Fred Espen, (2016)
-
The market price of risk for delivery periods : pricing swaps and options in electricity markets
Kemper, Annika, (2022)
- More ...
-
Stochastic analysis and neural network-based yield prediction with precision agriculture
Shoshi, Humayra, (2021)
-
Stochastic analysis and neural network-based yield prediction with precision agriculture
Shoshi, Humayra, (2021)
-
Implications for the Dirichlet Processes Mixture Linear Model on U.S. Crop Yield Predictions
Addey, Kwame, (2023)
- More ...