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q-fin.MF2020
Multi-asset Generalised Variance Swaps in Barndorff-Nielsen and Shephard model
Subhojit Biswas, Diganta Mukherjee, Indranil SenGupta
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 t…
q-fin.MF2019
A Proposal for Multi-asset Generalised Variance Swaps
Subhojit Biswas, Diganta Mukherjee
This paper proposes swaps on two important new measures of generalized variance, namely the maximum eigen-value and trace of the covariance matrix of the assets involved. We price…