Barndorff-Nielsen and Shephard model : oil hedging with variance swap and option
Indranil SenGupta, William Wilson, William Nganje
| Year of publication: |
2019
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|---|---|
| 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
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| Subject: | Barndorff-Nielsen and Shephard model | Oil commodity | Options and swaps | Quadratic hedging | Stochastic volatility | Hedging | Volatilität | Volatility | Swap | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Rohstoffderivat | Commodity derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11579-018-0225-4 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012055793