SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

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

ArticleShelves

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

Indranil SenGupta2018

Article2018

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

Indranil SenGupta · William W. Wilson · William E. Nganje

24 citations·0/0 files stored·Mathematics and Financial Economics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Financial Risk and Volatility Modeling Market Dynamics and Volatility

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 24 citations exist upstream.

References

2003Financial Modelling with Jump Processes 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics 2001Fundamentals of Futures and Options Markets 2003Option Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type 2001Modelling by Lévy Processes for Financial Econometrics 2005Integro-differential equations for option prices in exponential Lévy models 2001Modelling by Lévy Processess for Financial Econometrics 2003Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models

Cited by

2021Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2017Analysis of variance based instruments for Ornstein–Uhlenbeck type models: swap and price indexarticle · 9 shared references 2021Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedgingarticle · 8 shared references 2019Exact simulation of gamma-driven Ornstein–Uhlenbeck processes with finite and infinite activity jumpsarticle · 6 shared references 2020Refinements of Barndorff-Nielsen and Shephard Model: An Analysis of Crude Oil Price with Machine Learningarticle · 6 shared references 2021Exact simulation of Ornstein–Uhlenbeck tempered stable processesarticle · 6 shared references 2008Time Change, Volatility, and Turbulencechapter · 5 shared references

Details

Year2018

Typearticle

Published2018-08-16

VenueMathematics and Financial Economics

ISSN-L1862-9660

Languageen

Citations24

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1007/s11579-018-0225-4

openalex_workW2886923869

Links

Imported from OpenAlex (CC0) — nothing here is generated.