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- W2988299008 abstract "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 financial markets with Markov-modulated volatilities. 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." @default.
- W2988299008 created "2019-11-22" @default.
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- W2988299008 date "2019-12-01" @default.
- W2988299008 modified "2023-09-23" @default.
- W2988299008 title "A PROPOSAL FOR MULTI-ASSET GENERALIZED VARIANCE SWAPS" @default.
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- W2988299008 doi "https://doi.org/10.1142/s2010495219500192" @default.
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