{"id":"https://openalex.org/W4416617178","doi":"https://doi.org/10.48550/arxiv.2510.20047","title":"Generalized Variance Swap using Generalized Variance Method for Stochastic Volatility Models","display_name":"Generalized Variance Swap using Generalized Variance Method for Stochastic Volatility Models","publication_year":2025,"publication_date":"2025-10-22","ids":{"openalex":"https://openalex.org/W4416617178","doi":"https://doi.org/10.48550/arxiv.2510.20047"},"language":null,"primary_location":{"id":"pmh:oai:arXiv.org:2510.20047","doi":null,"is_oa":true,"landing_page_url":"https://arxiv.org/abs/2510.20047","pdf_url":"https://arxiv.org/pdf/2510.20047","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},"volume":null,"type":"preprint","indexed_in":["arxiv","datacite"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/2510.20047","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5077905304","display_name":"Semere Gebresilasie","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Gebresilassie, Semere","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"middle","author":{"id":null,"display_name":"Gebreslasie, Mulue","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Gebreslasie, Mulue","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5012606839","display_name":"Minglian Lin","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I164936912","display_name":"The University of Texas at El Paso","ror":"https://ror.org/04d5vba33","country_code":"US","type":"education","lineage":["https://openalex.org/I164936912"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Lin, Minglian","raw_affiliation_strings":["Department of Mathematical Sciences The University of Texas at El Paso"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematical Sciences The University of Texas at El Paso","institution_ids":["https://openalex.org/I164936912"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":true,"cited_by_count":0,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9965999722480774,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9965999722480774,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.0034000000450760126,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/heston-model","display_name":"Heston model","score":0.9139999747276306},{"id":"https://openalex.org/keywords/barndorff-nielsen-and-shephard-model","display_name":"Barndorff-Nielsen and Shephard model","score":0.968999981880188},{"id":"https://openalex.org/keywords/generalized-variance","display_name":"generalized variance","score":0.7570000290870667},{"id":"https://openalex.org/keywords/analytical-pricing","display_name":"analytical pricing","score":0.593999981880188},{"id":"https://openalex.org/keywords/model-calibration","display_name":"model calibration","score":0.5270000100135803},{"id":"https://openalex.org/keywords/parameter-testing","display_name":"parameter testing","score":0.3919999897480011},{"id":"https://openalex.org/keywords/model-validation","display_name":"model validation","score":0.6179999709129333}],"concepts":[{"id":"https://openalex.org/C165603445","wikidata":"https://www.wikidata.org/wiki/Q7915766","display_name":"Variance swap","level":5,"score":0.7014999985694885},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.6255999803543091},{"id":"https://openalex.org/C93045229","wikidata":"https://www.wikidata.org/wiki/Q5746554","display_name":"Heston model","level":5,"score":0.5863000154495239},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.572700023651123},{"id":"https://openalex.org/C60092789","wikidata":"https://www.wikidata.org/wiki/Q7301291","display_name":"Realized variance","level":3,"score":0.5037999749183655},{"id":"https://openalex.org/C178650346","wikidata":"https://www.wikidata.org/wiki/Q201984","display_name":"Covariance","level":2,"score":0.49540001153945923},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4948999881744385},{"id":"https://openalex.org/C161584116","wikidata":"https://www.wikidata.org/wiki/Q1952580","display_name":"Multivariate statistics","level":2,"score":0.48559999465942383},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.477400004863739},{"id":"https://openalex.org/C99821215","wikidata":"https://www.wikidata.org/wiki/Q1136583","display_name":"Swap (finance)","level":2,"score":0.45570001006126404},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.43689998984336853},{"id":"https://openalex.org/C185142706","wikidata":"https://www.wikidata.org/wiki/Q1134404","display_name":"Covariance matrix","level":2,"score":0.41999998688697815},{"id":"https://openalex.org/C177384507","wikidata":"https://www.wikidata.org/wiki/Q1149000","display_name":"Multivariate normal distribution","level":3,"score":0.37049999833106995},{"id":"https://openalex.org/C63479239","wikidata":"https://www.wikidata.org/wiki/Q7353546","display_name":"Robustness (evolution)","level":3,"score":0.36160001158714294},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.3612000048160553},{"id":"https://openalex.org/C45374587","wikidata":"https://www.wikidata.org/wiki/Q12525525","display_name":"Computation","level":2,"score":0.36010000109672546},{"id":"https://openalex.org/C177148314","wikidata":"https://www.wikidata.org/wiki/Q170084","display_name":"Generalization","level":2,"score":0.3564999997615814},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.3474999964237213},{"id":"https://openalex.org/C21556879","wikidata":"https://www.wikidata.org/wiki/Q43219517","display_name":"Moore\u2013Penrose pseudoinverse","level":3,"score":0.3327000141143799},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.3160000145435333},{"id":"https://openalex.org/C108311543","wikidata":"https://www.wikidata.org/wiki/Q7915756","display_name":"Variance-based sensitivity analysis","level":4,"score":0.3037000000476837},{"id":"https://openalex.org/C187625094","wikidata":"https://www.wikidata.org/wiki/Q7388452","display_name":"SABR volatility model","level":4,"score":0.3000999987125397},{"id":"https://openalex.org/C64133820","wikidata":"https://www.wikidata.org/wiki/Q5163651","display_name":"Constant elasticity of variance model","level":5,"score":0.2743000090122223},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.27399998903274536},{"id":"https://openalex.org/C21430997","wikidata":"https://www.wikidata.org/wiki/Q5159279","display_name":"Conditional variance","level":4,"score":0.2685999870300293}],"mesh":[],"locations_count":2,"locations":[{"id":"pmh:oai:arXiv.org:2510.20047","doi":null,"is_oa":true,"landing_page_url":"https://arxiv.org/abs/2510.20047","pdf_url":"https://arxiv.org/pdf/2510.20047","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},{"id":"doi:10.48550/arxiv.2510.20047","doi":"https://doi.org/10.48550/arxiv.2510.20047","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.2510.20047","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":null,"raw_source_name":null,"raw_type":"Preprint"}],"best_oa_location":{"id":"pmh:oai:arXiv.org:2510.20047","doi":null,"is_oa":true,"landing_page_url":"https://arxiv.org/abs/2510.20047","pdf_url":"https://arxiv.org/pdf/2510.20047","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},"sustainable_development_goals":[],"sustainable_development_goals_aurora":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W4416617178.pdf","grobid_xml":"https://content.openalex.org/works/W4416617178.grobid-xml"},"referenced_works_count":0,"referenced_works":[],"related_works":[],"abstract_inverted_index":{"This":[0,24],"paper":[1],"develops":[2],"a":[3,66],"generalized":[4,111],"variance":[5,113],"framework":[6,45],"for":[7,37,60,69],"pricing":[8,58],"multi-asset":[9],"dispersion":[10,30],"swap":[11],"based":[12],"on":[13],"the":[14,17,28,43,47,61,70,76,80,92],"determinant":[15],"of":[16,21,31,79,100],"instantaneous":[18],"covariance":[19],"matrix":[20],"asset":[22,33],"log-returns.":[23],"determinant-based":[25],"measure":[26],"captures":[27],"joint":[29],"multivariate":[32],"returns":[34],"while":[35],"accounting":[36],"their":[38],"dependence":[39],"structure.":[40],"We":[41],"formulate":[42],"proposed":[44,81],"under":[46],"Heston":[48,63],"and":[49,65,107],"Barndorff-Nielsen-Shephard":[50],"(BNS)":[51],"stochastic":[52],"volatility":[53],"models,":[54],"deriving":[55],"an":[56],"analytical":[57],"expression":[59],"three-asset":[62],"formulation":[64],"tractable":[67],"approximation":[68],"corresponding":[71],"BNS":[72],"formulation.":[73],"To":[74],"assess":[75],"empirical":[77,110],"performance":[78],"approach,":[82],"we":[83],"conduct":[84],"numerical":[85],"experiments":[86],"using":[87],"nine":[88],"stocks":[89],"obtained":[90],"through":[91],"quantmod":[93],"package,":[94],"randomly":[95],"partitioned":[96],"into":[97],"three":[98,101],"groups":[99],"assets.":[102],"The":[103],"models":[104],"are":[105],"calibrated":[106],"evaluated":[108],"against":[109],"realized":[112],"across":[114],"selected":[115],"time":[116],"horizons.":[117]},"counts_by_year":[],"updated_date":"2026-10-15T10:00:46.086208","created_date":"2025-10-25T00:00:00"}