Barndorff-Nielsen and Shephard model: oil hedging with variance swap and option

DOI10.1007/s11579-018-0225-4zbMath1410.91465OpenAlexW2886923869MaRDI QIDQ2422168

Yanyan Li

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

zbMATH Keywords

stochastic volatilityBarndorff-Nielsen and Shephard modelquadratic hedgingoil commodityoptions and swaps

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Infinitesimal generators for two-dimensional Lévy process-driven hypothesis testing, Asymptotics for multifactor Volterra type stochastic volatility models, On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models, European option pricing under stochastic volatility jump-diffusion models with transaction cost, Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging, Variance and volatility swaps valuations with the stochastic liquidity risk, Variance swaps, volatility swaps, hedging and bounds under multi-factor Heston stochastic volatility model, Sequential Hypothesis Testing in Machine Learning, and Crude Oil Price Jump Size Detection

Uses Software

• DerivaGem

Cites Work

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