Moments of the asset price for the Barndorff-Nielsen and Shephard model

DOI10.1007/S10986-018-9416-1zbMath1420.91465OpenAlexW2901538093MaRDI QIDQ1728116

Xianqiang Yang

Publication date: 22 February 2019

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-018-9416-1

zbMATH Keywords

momentsLévy processGirsanov's theoremBarndorff-Nielsen and Shephard modelcumulant transform

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

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