论文标题
Barndorff-Nielsen和Shephard模型中的多个总体广义差异掉期
Multi-asset Generalised Variance Swaps in Barndorff-Nielsen and Shephard model
论文作者
论文摘要
本文提出了有关广义方差的两个重要措施的掉期，即所涉及资产的最大特征值和协方差矩阵的痕迹。我们为金融市场中使用的Barndorff-Nielsen和Shephard模型为这些广义差异掉期定价。我们考虑用于理论目的的投资组合中的多个资产，并以数值示例在投资组合中以三个股票为单位来证明我们的方法。本文获得的结果对商品行业具有重要意义，在这种商品行业中，这种掉期对对冲风险有用。
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.
