Barndorff-Nielsen and Shephard model: oil hedging with variance swap and option
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Publication:2422168
DOI10.1007/s11579-018-0225-4zbMath1410.91465OpenAlexW2886923869MaRDI QIDQ2422168
Publication date: 18 June 2019
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-018-0225-4
stochastic volatilityBarndorff-Nielsen and Shephard modelquadratic hedgingoil commodityoptions and swaps
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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